Limit theorems for quadratic forms with applications to Whittle's estimate

DOI10.1214/AOAP/1029962600zbMATH Open0940.60037OpenAlexW2092926041MaRDI QIDQ1296590FDOQ1296590

Lajos Horváth, Q. M. Shao

Publication date: 13 July 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962600

Recommendations

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

quadratic formschange-pointlong-memory parameter

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Cites Work

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• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Strong approximation for cross-covariances of linear variables with long-range dependence

Cited In (28)

• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• A limit theorem for quadratic forms and its applications
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• Asymptotics of partial sums of linear processes with changing memory parameter
• Estimating a change point in the long memory parameter
• Asymptotic distributions of quadratic forms occurring in changepoint problems
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• Semiparametric Detection of Changes in Long Range Dependence
• A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter
• Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
• General Gaussian estimation
• Weak convergence of linear and quadratic forms and related statements on \(L_p\)-approximability
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• Constancy test for FARIMA long memory processes
• A new simple test against spurious long memory using temporal aggregation
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Change-point detection in long-memory processes
• Monitoring mean and variance change-points in long-memory time series
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• On rapid change points under long memory
• On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Sharp deviation bounds for quadratic forms
• Testing and estimating for change in long memory parameter
• Testing for change points in time series models and limiting theorems for NED sequences
• Convergence of quadratic forms with nonvanishing diagonal
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator
• On parameter estimation for locally stationary long-memory processes

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