Approximations and limit theory for quadratic forms of linear processes

R.J. Bhansali, Liudas Giraitis () and P.S. Kokoszka

Stochastic Processes and their Applications, 2007, vol. 117, issue 1, 71-95

Abstract: The paper develops a limit theory for the quadratic form Qn,X in linear random variables X1,...,Xn which can be used to derive the asymptotic normality of various semiparametric, kernel, window and other estimators converging at a rate which is not necessarily n1/2. The theory covers practically all forms of linear serial dependence including long, short and negative memory, and provides conditions which can be readily verified thus eliminating the need to develop technical arguments for special cases. This is accomplished by establishing a general CLT for Qn,X with normalization assuming only 2+[delta] finite moments. Previous results for forms in dependent variables allowed only normalization with n1/2 and required at least four finite moments. Our technique uses approximations of Qn,X by a form Qn,Z in i.i.d. errors Z1,...,Zn. We develop sharp bounds for these approximations which in some cases are faster by the factor n1/2 compared to the existing results.

Keywords: Asymptotic; normality; Integrated; periodogram; Linear; process; Quadratic; form; Semiparametric; and; kernel; estimation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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