Convergence of quadratic forms with nonvanishing diagonal
AbstractMotivated by applications to time series analysis, we establish the asymptotic normality of a quadratic form in i.i.d. random variables which has a nonvanishing diagonal. Our theory covers the case of both the finite and the infinite fourth moment, and leads to new results also in the case of a vanishing diagonal.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 77 (2007)
Issue (Month): 7 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Mikosch, T., 1991. "Functional limit theorems for random quadratic forms," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 81-98, February.
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