Approximations and limit theory for quadratic forms of linear processes

DOI10.1016/J.SPA.2006.05.015zbMATH Open1107.62038OpenAlexW2058342872MaRDI QIDQ873607FDOQ873607

Authors: R. J. Bhansali, L. Giraitis, Piotr Kokoszka 

Publication date: 29 March 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.05.015

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zbMATH Keywords

asymptotic normalityquadratic formintegrated periodogramlinear processsemiparametric and kernel estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

• Time series: theory and methods.
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• Limit theorems for bivariate Appell polynomials. I: Central limit theorems
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• Consistent autoregressive spectral estimates
• Title not available (Why is that?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• The asymptotic theory of linear time-series models
• Parameter estimation for infinite variance fractional ARIMA
• The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables
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• The integrated periodogram for long-memory processes with finite or infinite variance
• Subsequences of the partial sums of a trigonometric series which are everywhere convergent to zero
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• Two estimators of the long-run variance: beyond short memory
• Convergence of quadratic forms with nonvanishing diagonal
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• Title not available (Why is that?)
• On the asymptotic distribution of quadratic forms in uniform order statistics
• Periodic moving averages of random variables with regularly varying tails
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• Some Limit Theorems for Polynomials of Second Degree
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models

Cited In (25)

• Estimation pitfalls when the noise is not i.i.d.
• A least squares method for variance estimation in heteroscedastic nonparametric regression
• Central limit theorems for double Poisson integrals
• Central limit theorems for arrays of decimated linear processes
• A quadraticity limit theorem useful in linear models
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Weak convergence of linear and quadratic forms and related statements on \(L_p\)-approximability
• Inference of weighted \(V\)-statistics for nonstationary time series and its applications
• Two estimators of the long-run variance: beyond short memory
• The asymptotic behavior of quadratic forms in \(\varphi\)-mixing random variables
• Tests for the equality of two processes' spectral densities with unequal lengths using wavelet methods
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• Minimum distance lack-of-fit tests under long memory errors
• 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
• Asymptotic normality of quadratic forms of martingale differences
• Title not available (Why is that?)
• Convergence of quadratic forms with nonvanishing diagonal
• A sufficient condition for asymptotic normality of the normalized quadratic form \(\Psi_{n}(f,g)\)
• Asymptotic normality of the mixture density estimator in a disaggregation scheme
• Mean and autocovariance function estimation near the boundary of stationarity

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