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A central limit theorem for a random quadratic form of strictly stationary processes

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  • Gao, Jiti
  • Anh, Vo
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Abstract

In this paper, we consider a random quadratic form of strictly stationary processes. A central limit theorem for the quadratic form is established and an application to nonparametric series regression is given.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 49 (2000)
Issue (Month): 1 (August)
Pages: 69-79

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Handle: RePEc:eee:stapro:v:49:y:2000:i:1:p:69-79

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Related research

Keywords: Central limit theorem Quadratic form Stationary process;

References

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  1. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December.
  2. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  3. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  4. Cox, Dennis D. & Kim, Tae Yoon, 1995. "Moment bounds for mixing random variables useful in nonparametric function estimation," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 151-158, March.
  5. Boente, Graciela & Fraiman, Ricardo, 1988. "Consistency of a nonparametric estimate of a density function for dependent variables," Journal of Multivariate Analysis, Elsevier, vol. 25(1), pages 90-99, April.
  6. Hjellvik, Vidar & Yao, Qiwei & Tjostheim, Dag, 1998. "Linearity testing using local polynominal approximation," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
  7. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
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Citations

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Cited by:
  1. Gao, Jiti & Hong, Yongmiao, 2007. "Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing," MPRA Paper 11977, University Library of Munich, Germany, revised Dec 2007.
  2. Gao, Jiti & Tong, Howell, 2002. "Nonparametric and semiparametric regression model selection," MPRA Paper 11987, University Library of Munich, Germany, revised Feb 2004.

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