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Non-central Limit Theorems for Non-linear Functionals of k Gaussian Fields


  • Denaranjo, M. V. S.


Let {X1n}, ..., {Xkn} be k stationary Gaussian processes. Suppose H is a functional of k variables. We are interested in the asymptotic distribution of the sequence [formula] where AN are appropriate forming constants and assuming that the correlation matrix tends slowly to 0. The limit distribution is given in terms of a non-Gaussian process for some H.

Suggested Citation

  • Denaranjo, M. V. S., 1993. "Non-central Limit Theorems for Non-linear Functionals of k Gaussian Fields," Journal of Multivariate Analysis, Elsevier, vol. 44(2), pages 227-255, February.
  • Handle: RePEc:eee:jmvana:v:44:y:1993:i:2:p:227-255

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    Cited by:

    1. Robinson, P. M., 2001. "The memory of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 101(2), pages 195-218, April.
    2. Sánchez de Naranjo, M. V., 1995. "A central limit theorem for non-linear functionals of stationary Gaussian vector processes," Statistics & Probability Letters, Elsevier, vol. 22(3), pages 223-230, February.

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