A CENTRAL-LIMIT-THEOREM FOR QUADRATIC-FORMS IN STRONGLY DEPENDENT LINEAR VARIABLES AND ITS APPLICATION TO ASYMPTOTICAL NORMALITY OF WHITTLES ESTIMATE

被引：234

作者：

GIRAITIS, L

SURGAILIS, D

机构：

[1] Institute of Mathematics and Cybernetics, Vilnius

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1990年 / 86卷 / 01期

关键词：

D O I：

10.1007/BF01207515

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A central limit theorem for quadratic forms in strongly dependent linear (or moving average) variables is proved, generalizing the results of Avram [1] and Fox and Taqqu [3] for Gaussian variables. The theorem is applied to prove asymptotical normality of Whittle's estimate of the parameter of strongly dependent linear sequences. © 1990 Springer-Verlag.

引用

页码：87 / 104

页数：18

共 8 条

[1] ON BILINEAR-FORMS IN GAUSSIAN RANDOM-VARIABLES AND TOEPLITZ MATRICES [J].