A limit theorem for quadratic forms and its applications

DOI10.1017/S0266466607070399zbMATH Open1237.60020MaRDI QIDQ2886972FDOQ2886972

Xiaofeng Shao, Wei Biao Wu

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotic distribution of quadratic forms
• Non-strong mixing autoregressive processes
• Nonlinear system theory: Another look at dependence
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity
• Martingale approximations for sums of stationary processes.
• Limit theorems for iterated random functions
• Iterated Random Functions
• On linear processes with dependent innovations
• A central limit theorem for iterated random functions
• Kernel density estimation for linear processes
• On weighted \(U\)-statistics for stationary processes.
• Fourier transforms of stationary processes
• Functional limit theorems for random quadratic forms
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Asymptotic properties of spectral estimates of second order
• On some moments and distributions occurring in the theory of linear stochastic process. II
• On a spectral density estimate obtained by averaging periodograms
• Functional limit theorems for random multilinear forms
• On the Distribution of Some Statistical Estimates of Spectral Density
• Note on the Convergence to Normality of Quadratic forms in Independent Variables
• Linear Transformations of Gaussian Measures

Cited In (19)

• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• General Gaussian estimation
• Title not available (Why is that?)
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Change-point analysis in increasing dimension
• A Darling-Erdős type result for stationary ellipsoids
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Some limiting theorems of some random quadratic forms
• On convergence to stochastic integrals
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Title not available (Why is that?)
• A martingale decomposition for quadratic forms of Markov chains (with applications)
• On asymptotic distributions of weighted sums of periodograms
• A note on quadratic forms of stationary functional time series under mild conditions
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Most powerful test against a sequence of high dimensional local alternatives
• ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

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