Some convergence results on quadratic forms for random fields and application to empirical covariances (Q639875): Difference between revisions

This paper considers the convergence in distribution of quadratic forms defined as the weighted sum of the cross-products from a sequence of \(d\)-dimensional stationary \(L^2\) Gaussian random fields having long memory. When \(d=1\), both central and non-central limit theorems have been proved under various conditions on the spectral density \(f\) of the sequence and weight function \(g\) defining the quadratic forms. When \(d>1\), a central limit theorem has been proved but few results are available on a non-central limit theorem. In this paper, a non-central limit theorem is provided for the convergence of the quadratic form under a general condition on \(f\) and \(g\) in the case \(d>1\). Some examples, where the general condition is satisfied, are given. As an application of the main result, the asymptotic distributions of an empirical auto-covariance function are derived under various conditions.