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$L_p$-Approximable sequences of vectors and limit distribution of quadratic forms of random variables

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  • Mynbaev, Kairat

Abstract

The properties of $L_2$-approximable sequences established here form a complete toolkit for statistical results concerning weighted sums of random variables, where the weights are nonstochastic sequences approximated in some sense by square-integrable functions and the random variables are "two-wing" averages of martingale differences. The results constitute the first significant advancement in the theory of $L_2$-approximable sequences since 1976 when Moussatat introduced a narrower notion of $L_2$-generated sequences. The method relies on a study of certain linear operators in the spaces $L_p$ and $l_p$. A criterion of $L_p$-approximability is given. The results are new even when the weights generating function is identically 1. A central limit theorem for quadratic forms of random variables illustrates the method.

Suggested Citation

  • Mynbaev, Kairat, 2000. "$L_p$-Approximable sequences of vectors and limit distribution of quadratic forms of random variables," MPRA Paper 18447, University Library of Munich, Germany, revised 2001.
  • Handle: RePEc:pra:mprapa:18447
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    File URL: https://mpra.ub.uni-muenchen.de/18447/1/MPRA_paper_18447.pdf
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    Citations

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    Cited by:

    1. Kairat T. Mynbaev, 2011. "Regressions with asymptotically collinear regressors," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 304-320, July.
    2. Mynbaev, Kairat T. & Ullah, Aman, 2008. "Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model," Journal of Multivariate Analysis, Elsevier, vol. 99(2), pages 245-277, February.
    3. Mynbaev, Kairat & Ullah, Aman, 2006. "A Remark on the Asymptotic Distribution of the OLS Estimator for a Purely Autoregressive Spatial Model," MPRA Paper 3318, University Library of Munich, Germany.
    4. Mynbaev, Kairat, 2003. "Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends," MPRA Paper 18448, University Library of Munich, Germany, revised 2005.
    5. Mynbaev, Kairat T., 2010. "Asymptotic distribution of the OLS estimator for a mixed spatial model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 733-748, March.
    6. Mynbaev, Kairat, 2007. "Comment on "Regression with slowly varying regressors and nonlinear trends" by P.C.B. Phillips," MPRA Paper 8838, University Library of Munich, Germany, revised 23 May 2008.
    7. Mynbaev, Kairat, 2006. "Asymptotic Distribution of the OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model," MPRA Paper 4411, University Library of Munich, Germany.

    More about this item

    Keywords

    linear operators in $L_p$ spaces; central limit theorem; quadratic forms of random variables;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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