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A limit theorem for quadratic forms and its applications (2006).
| Content Provider | CiteSeerX |
|---|---|
| Author | Wu, Wei Biao Shao, Xiaofeng |
| Abstract | We consider quadratic forms of martingale differences and establish a central limit theorem under mild and easily verifiable conditions. By approximating Fourier transforms of stationary processes by martingales, our central limit theorem is applied to the smoothed periodogram estimate of spectral density functions. Our results go beyond earlier ones by allowing a variety of nonlinear time series and by avoiding strong mixing and/or summability conditions on joint cumulants. |
| File Format | |
| Publisher Date | 2006-01-01 |
| Access Restriction | Open |
| Subject Keyword | Limit Theorem Quadratic Form Central Limit Theorem Nonlinear Time Series Strong Mixing Fourier Transforms Stationary Process Martingale Difference Periodogram Estimate Verifiable Condition Spectral Density Function Quadratic Form Joint Cumulants Summability Condition |
| Content Type | Text |
