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

DOI10.1214/AOAP/1029962600MaRDI QIDQ1296590zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Asymptotic distributions of quadratic forms occurring in changepoint problems
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• The change-point problem for dependent observations
• Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions

Cites work

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• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Central limit theorems for quadratic forms in random variables having long-range dependence
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On bilinear forms in Gaussian random variables and Toeplitz matrices
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Order-of-magnitude bounds for expectations involving quadratic forms
• Strong approximation for cross-covariances of linear variables with long-range dependence
• Testing for a change of the long-memory parameter
• The asymptotic theory of linear time-series models

Cited in

(28)

• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• A limit theorem for quadratic forms and its applications
• Asymptotics of partial sums of linear processes with changing memory parameter
• Asymptotic distributions of quadratic forms occurring in changepoint problems
• Estimating a change point in the long memory parameter
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• 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
• Semiparametric detection of changes in long range dependence
• Change-point detection in long-memory processes
• A self-normalized semi-parametric test to detect changes in the long memory parameter
• 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
• Sharp deviation bounds for quadratic forms
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• 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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