Functional Non-Central and Central Limit Theorems for Bivariate Appell Polynomials

Liudas Giraitis () and Murad S. Taqqu ()
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Liudas Giraitis: London School of Economics
Murad S. Taqqu: Boston University

Journal of Theoretical Probability, 2001, vol. 14, issue 2, 393-426

Abstract: Abstract We consider quadratic forms in bivariate Appell polynomials involving strongly dependent time series. Both the spectral density of these time series and the Fourier transform of the kernel of the quadratic forms are regularly varying at the origin and hence may diverge, for example, like a power function. We obtain functional limit theorems for these quadratic forms by extending the recent results on the convergence of their finite-dimensional distributions. Some of these are functional central limit theorems where the limiting process is Brownian motion. Others are functional non-central limit theorems where the limiting processes are typically not Gaussian or, if they are Gaussian, then they are not Brownian motion.

Keywords: appell polynomials; non-central limit theorem; long-range dependence; quadratic forms; time series (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1011111730227

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