Moment bounds and central limit theorem for functions of Gaussian vectors
AbstractIn this note, bounds for moments of functions of Gaussian vectors are proved, generalizing earlier results by Taqqu (Z. Wahrscheinlichkeitstheorie verw. Gebite 40 (1977) 203) and Arcones (Ann. probab. 15 (4) (1994) 2243). These bounds are used to derive a Lindeberg-Lévy central limit theorem for triangular arrays of functions of Gaussian vectors. Statistical applications for long range dependent processes are given.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 54 (2001)
Issue (Month): 2 (September)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Deo, Rohit S. & Chen, Willa W., 2000. "On the integral of the squared periodogram," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 159-176, January.
- Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
- Hassler, Uwe, 2011.
"Estimation of fractional integration under temporal aggregation,"
Journal of Econometrics,
Elsevier, vol. 162(2), pages 240-247, June.
- Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print peer-00815563, HAL.
- Faÿ, Gilles, 2010. "Moment bounds for non-linear functionals of the periodogram," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 983-1009, June.
- Masaki Narukawa & Yasumasa Matsuda, 2008. "Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach," TERG Discussion Papers 239, Graduate School of Economics and Management, Tohoku University.
- Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe, 2002. "The FEXP estimator for potentially non-stationary linear time series," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 307-340, February.
- Mikko S. Pakkanen, 2013. "Limit theorems for power variations of ambit fields driven by white noise," CREATES Research Papers 2013-01, School of Economics and Management, University of Aarhus.
- Blacher, René, 2007. "Central Limit Theorem by moments," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1647-1651, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.