Fluctuations of Quadratic Chaos
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| _version_ | 1866912029455941632 |
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| author | Bhattacharya, Bhaswar B. Das, Sayan Mukherjee, Somabha Mukherjee, Sumit |
| author_facet | Bhattacharya, Bhaswar B. Das, Sayan Mukherjee, Somabha Mukherjee, Sumit |
| contents | In this paper we characterize all distributional limits of the random quadratic form $T_n =\sum_{1\le u< v\le n} a_{u, v} X_u X_v$, where $((a_{u, v}))_{1\le u,v\le n}$ is a $\{0, 1\}$-valued symmetric matrix with zeros on the diagonal and $X_1, X_2, \ldots, X_n$ are i.i.d.~ mean $0$ variance $1$ random variables with common distribution function $F$. In particular, we show that any distributional limit of $S_n:=T_n/\sqrt{\mathrm{Var}[T_n]}$ can be expressed as the sum of three independent components: a Gaussian, a (possibly) infinite weighted sum of independent centered chi-squares, and a Gaussian mixture with a random variance. As a consequence, we prove a fourth moment theorem for the asymptotic normality of $S_n$, which applies even when $F$ does not have finite fourth moment. More formally, we show that $S_n$ converges to $N(0, 1)$ if and only if the fourth moment of $S_n$ (appropriately truncated when $F$ does not have finite fourth moment) converges to 3 (the fourth moment of the standard normal distribution). |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2203_02850 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Fluctuations of Quadratic Chaos Bhattacharya, Bhaswar B. Das, Sayan Mukherjee, Somabha Mukherjee, Sumit Probability Combinatorics In this paper we characterize all distributional limits of the random quadratic form $T_n =\sum_{1\le u< v\le n} a_{u, v} X_u X_v$, where $((a_{u, v}))_{1\le u,v\le n}$ is a $\{0, 1\}$-valued symmetric matrix with zeros on the diagonal and $X_1, X_2, \ldots, X_n$ are i.i.d.~ mean $0$ variance $1$ random variables with common distribution function $F$. In particular, we show that any distributional limit of $S_n:=T_n/\sqrt{\mathrm{Var}[T_n]}$ can be expressed as the sum of three independent components: a Gaussian, a (possibly) infinite weighted sum of independent centered chi-squares, and a Gaussian mixture with a random variance. As a consequence, we prove a fourth moment theorem for the asymptotic normality of $S_n$, which applies even when $F$ does not have finite fourth moment. More formally, we show that $S_n$ converges to $N(0, 1)$ if and only if the fourth moment of $S_n$ (appropriately truncated when $F$ does not have finite fourth moment) converges to 3 (the fourth moment of the standard normal distribution). |
| title | Fluctuations of Quadratic Chaos |
| topic | Probability Combinatorics |
| url | https://arxiv.org/abs/2203.02850 |