On quadratic functionals of the Brownian sheet and related processes

Paul Deheuvels, Giovanni Peccati and Marc Yor

Stochastic Processes and their Applications, 2006, vol. 116, issue 3, 493-538

Abstract: Motivated by asymptotic problems in the theory of empirical processes, and specifically by tests of independence, we study the law of quadratic functionals of the (weighted) Brownian sheet and of the bivariate Brownian bridge on [0,1]2. In particular: (i) we use Fubini-type techniques to establish identities in law with quadratic functionals of other Gaussian processes, (ii) we explicitly calculate the Laplace transform of such functionals by means of Karhunen-Loève expansions, (iii) we prove central and non-central limit theorems in the spirit of Peccati and Yor [Four limit theorems involving quadratic functionals of Brownian motion and Brownian bridge, Asymptotic Methods in Stochastics, American Mathematical Society, Fields Institute Communication Series, 2004, pp. 75-87] and Nualart and Peccati [Central limit theorems for sequences of multiple stochastic integrals, Ann. Probab. 33(1) (2005) 177-193]. Our results extend some classical computations due to Lévy [Wiener's random function and other Laplacian random functions, in: Second Berkeley Symposium in Probability and Statistics, 1950, pp. 171-186], as well as the formulae recently obtained by Deheuvels and Martynov [Karhunen-Loève expansions for weighted Wiener processes and Brownian bridges via Bessel functions, Progress in Probability, vol. 55, Birkhäuser Verlag, Basel, 2003, pp. 57-93].

Keywords: Empirical; processes; Gaussian; processes; Karhunen-Loeve; expansions; Limit; theorems; Quadratic; functionals; Tests; of; independence (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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