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$L_p$-Approximable sequences of vectors and limit distribution of quadratic forms of random variables

Kairat Mynbaev ()

MPRA Paper from University Library of Munich, Germany

Abstract: The properties of $L_2$-approximable sequences established here form a complete toolkit for statistical results concerning weighted sums of random variables, where the weights are nonstochastic sequences approximated in some sense by square-integrable functions and the random variables are "two-wing" averages of martingale differences. The results constitute the first significant advancement in the theory of $L_2$-approximable sequences since 1976 when Moussatat introduced a narrower notion of $L_2$-generated sequences. The method relies on a study of certain linear operators in the spaces $L_p$ and $l_p$. A criterion of $L_p$-approximability is given. The results are new even when the weights generating function is identically 1. A central limit theorem for quadratic forms of random variables illustrates the method.

Keywords: linear operators in $L_p$ spaces; central limit theorem; quadratic forms of random variables (search for similar items in EconPapers)
JEL-codes: C02 C01 (search for similar items in EconPapers)
Date: 2000, Revised 2001
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