Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws

Ivan Nourdin, Jan Rosiński

Published 2011-12-21, updated 2014-02-25Version 4

We characterize the asymptotic independence between blocks consisting of multiple Wiener-It\^{o} integrals. As a consequence of this characterization, we derive the celebrated fourth moment theorem of Nualart and Peccati, its multidimensional extension and other related results on the multivariate convergence of multiple Wiener-It\^{o} integrals, that involve Gaussian and non Gaussian limits. We give applications to the study of the asymptotic behavior of functions of short and long-range dependent stationary Gaussian time series and establish the asymptotic independence for discrete non-Gaussian chaoses.