New Central Limit Theorems for Functionals of Gaussian Processes and their Applications
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As a consequence of the seminal work of Nualart and Peccati in 2005 we have new central limit theorems for functional of Gaussian processes that have allowed us to elucidate the asymptotic behavior of the multipower variation of certain ambit processes, see Barndorff-Nielsen et al. (2009c). This survey intends to explain the role of the Malliavin calculus to reach these results.
KeywordsCentral limit theorem Gaussian processes Non-semimartingales Power variations Wiener chaos
AMS 2000 Subject ClassificationsPrimary 60F05 60G15 62G15 62M09 Secondary 60G22 60H07
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