Convergence of quadratic forms with nonvanishing diagonal

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

Statistics & Probability Letters, 2007, vol. 77, issue 7, 726-734

Abstract: Motivated 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.

Keywords: Asymptotic; normality; Quadratic; form (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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