A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

DOI10.1007/BF01207515zbMath0717.62015WikidataQ105583324 ScholiaQ105583324MaRDI QIDQ2638684

Liudas Giraitis, Donatas Surgailis

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

asymptotic normality of Whittle's estimatefinite fourth moment

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cites Work

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• Central limit theorems for quadratic forms in random variables having long-range dependence
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On bilinear forms in Gaussian random variables and Toeplitz matrices
• The asymptotic theory of linear time-series models

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