On the trace approximations of products of Toeplitz matrices

Mamikon S. Ginovyan and Artur A. Sahakyan

Statistics & Probability Letters, 2013, vol. 83, issue 3, 753-760

Abstract: The paper establishes error orders for integral limit approximations to the traces of products of Toeplitz matrices generated by integrable real symmetric functions defined on the unit circle. These approximations and the corresponding error bounds are of importance in the statistical analysis of discrete-time stationary processes: asymptotic distributions and large deviations of Toeplitz type random quadratic forms, estimation of the spectral parameters and functionals, etc.

Keywords: Toeplitz matrix; Trace approximation; Error bound; Stationary process; Spectral density (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.11.019

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