Extension of the Hermite-process limit theorem to higher-order integrals

From papers

Let p3p\geq 3. Under the setting and assumptions of Theorem nCLT, let (Xk)(X_k) be the stationary sequence and (an)(a_n) the normalization sequence defined there. The processes are considered in D[0,1]D[0,1] with the uniform metric.

Higher-order limit conjecture. The conclusion of Theorem nCLT continues to hold if p3p\geq 3; that is, as nn\to\infty,

(1ank=1\floorntXk)t[0,1](μp(f)Zp,β(t))t[0,1].\left(\frac{1}{a_n}\sum_{k=1}^{\floor{nt}}X_k\right)_{t\in[0,1]}\Rightarrow\left(\mu^p(f)Z_{p,\beta}(t)\right)_{t\in[0,1]}.

The cases p3p\geq3 are not established by the paper's method of moments because moment determinacy for the limiting multiple Gaussian integral either fails or is unknown; the conjecture extends the stated limit theorem beyond the cases p=1p=1 and p=2p=2.

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Sources & referencesView supporting material

Primary source

Shuyang Bai, “Limit Theorems for Conservative Flows on Multiple Stochastic Integrals”, arXiv:2005.07789 (2021).

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