A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences

TL;DR

This paper establishes a third-moment theorem for stationary Gaussian sequences, providing precise asymptotics for their variations and extending convergence results to non-Gaussian limits like the Rosenblatt law.

Contribution

It introduces a third-moment criterion for convergence of quadratic variations in Gaussian sequences and derives exact convergence speeds, extending prior fourth-moment results.

Findings

Third-moment theorem for Gaussian quadratic variations

Quantitative convergence speeds for non-Gaussian limits

Extension to log-modulated covariance structures

Abstract

In two new papers (Bierme et al., 2013) and (Nourdin and Peccati, 2015), sharp general quantitative bounds \ are given to complement the well-known fourth moment theorem of Nualart and Peccati, by which a sequence in a fixed Wiener chaos converges to a normal law if and only if its fourth cumulant converges to $0$. The bounds show that the speed of convergence is precisely of order the maximum of the fourth cumulant and the absolute value of the third moment (cumulant). Specializing to the case of normalized centered quadratic variations for stationary Gaussian sequences, we show that a third moment theorem holds: convergence occurs if and only if the sequence's third moments tend to $0$. This is proved for sequences with general decreasing covariance, by using the result of (Nourdin and Peccati, 2015), and finding the exact speed of convergence to $0$ of the quadratic variation's third and fourth cumulants. (Nourdin and Peccati, 2015) also allows us to derive quantitative estimates for the speeds of convergence in a class of log-modulated covariance structures, which puts in perspective the notion of critical Hurst parameter when studying the convergence of fractional Brownian motion's quadratic variation. We also study the speed of convergence when the limit is not Gaussian but rather a second-Wiener-chaos law. Using a log-modulated class of spectral densities, we recover a classical result of Dobrushin-Major/Taqqu whereby the limit is a Rosenblatt law, and we provide new convergence speeds. The conclusion in this case is that the price to pay to obtain a Rosenblatt limit despite a slowly varying modulation is a very slow convergence speed, roughly of the same order as the modulation.