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Convergence of normalized quadratic forms

By Liudas Giraitis and Murad S. Taqqu

Abstract

The asymptotic behavior of quadratic forms of stationary sequences plays an important role in statistics, for example, in the context of the Whittle approximation to maximum likelihood. The quadratic form, appropriately normalized, may have Gaussian or non-Gaussian limits. Under what circumstances will the limits be of one type or another? And if the limits are non-Gaussian, what are they? The goal of this paper is to describe the historical development of the problem and provide further extensions of recent results

Topics: QA Mathematics
Publisher: Elsevier
Year: 1999
DOI identifier: 10.1016/S0378-3758(98)00240-7
OAI identifier: oai:eprints.lse.ac.uk:7162
Provided by: LSE Research Online
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