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A four moments theorem for Gamma limits on a Poisson chaos

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BORIS DOI
10.7892/boris.84023
Official URL
http://alea.impa.br/articles/v13/13-07.pdf
Description
This paper deals with sequences of random variables belonging to a
fixed chaos of order q generated by a Poisson random measure on a Polish space. The problem is investigated whether convergence of the third and fourth moment of such a suitably normalized sequence to the third and fourth moment of a centred Gamma law implies convergence in distribution of the involved random variables. A positive answer is obtained for q = 2 and q = 4. The proof of this four moments theorem is based on a number of new estimates for contraction norms. Applications concern homogeneous sums and U-statistics on the Poisson space.
Date of Publication
2016
Publication Type
Article
Subject(s)
500 Science > 510 Mathematics
Language(s)
en
Contributor(s)
Fissler, Tobiasorcid-logo
Institut für Mathematische Statistik und Versicherungslehre (IMSV)
Thäle, Christoph
Additional Credits
Institut für Mathematische Statistik und Versicherungslehre (IMSV)
Series
Alea. Latin American journal of probability and mathematical statistics
Publisher
Institute of Mathematical Statistics
ISSN
1980-0436
Access(Rights)
open.access
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