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arxiv: 1312.5841 · v1 · pith:ZYMLPLJVnew · submitted 2013-12-20 · 🧮 math.PR · cs.IT· math.IT

Fisher Information and the Fourth Moment Theorem

classification 🧮 math.PR cs.ITmath.IT
keywords convergencefourthmomenttheoremfisherinformationactuallyalready
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Using a representation of the score function by means of the divergence operator we exhibit a sufficient condition, in terms of the negative moments of the norm of the Malliavin derivative, under which convergence in Fisher information to the standard Gaussian of sequences belonging to a given Wiener chaos is actually equivalent to convergence of only the fourth moment. Thus, our result may be considered as a further building block associated to the recent but already rich literature dedicated to the Fourth Moment Theorem of Nualart and Peccati. To illustrate the power of our approach we prove a local limit theorem together with some rates of convergence for the normal convergence of a standardized version of the quadratic variation of the fractional Brownian motion.

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