THE APPROXIMATE DENSITIES OF SOME QUADRATIC FORMS OF STATIONARY RANDOM VARIABLES

Juan Abril ()

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 249-259

Abstract: Abstract. First we obtain a convenient way of expressing the determinant of the difference between an identity matrix and some products of Toeplitz matrices. Then, using these results, we show that for a large number of normal processes there exist some quadratic forms whose matrices are of Toeplitz type such that their joint density admits an Edgeworth expansion.

Date: 1987
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https://doi.org/10.1111/j.1467-9892.1987.tb00437.x

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