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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 4, Pages 653–671
DOI: https://doi.org/10.4213/tvp187
(Mi tvp187)
 

This article is cited in 17 scientific papers (total in 17 papers)

On the central limit theorem for Toeplitz quadratic forms of stationary sequences

A. A. Sahakian, M. S. Ginovyan

Institute of Mathematics, National Academy of Sciences of Armenia
References:
Abstract: Let $X(t)$, $t = 0,\pm1,\ldots$, be a real-valued stationary Gaussian sequence with a spectral density function $f(\lambda)$. The paper considers the question of applicability of the central limit theorem (CLT) for a Toeplitz-type quadratic form $Q_n$ in variables $X(t)$, generated by an integrable even function $g(\lambda)$. Assuming that $f(\lambda)$ and $g(\lambda)$ are regularly varying at $\lambda=0$ of orders $\alpha$ and $\beta$, respectively, we prove the CLT for the standard normalized quadratic form $Q_n$ in a critical case $\alpha+\beta=\frac{1}{2}$.
We also show that the CLT is not valid under the single condition that the asymptotic variance of $Q_n$ is separated from zero and infinity.
Keywords: stationary Gaussian sequence, spectral density, Toeplitz-type quadratic forms, central limit theorem, asymptotic variance, slowly varying functions.
Received: 17.05.2004
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 4, Pages 612–628
DOI: https://doi.org/10.1137/S0040585X97981299
Bibliographic databases:
Language: Russian
Citation: A. A. Sahakian, M. S. Ginovyan, “On the central limit theorem for Toeplitz quadratic forms of stationary sequences”, Teor. Veroyatnost. i Primenen., 49:4 (2004), 653–671; Theory Probab. Appl., 49:4 (2005), 612–628
Citation in format AMSBIB
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\by A.~A.~Sahakian, M.~S.~Ginovyan
\paper On the central limit theorem for Toeplitz quadratic forms
of stationary sequences
\jour Teor. Veroyatnost. i Primenen.
\yr 2004
\vol 49
\issue 4
\pages 653--671
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\crossref{https://doi.org/10.4213/tvp187}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2142560}
\zmath{https://zbmath.org/?q=an:1090.60021}
\transl
\jour Theory Probab. Appl.
\yr 2005
\vol 49
\issue 4
\pages 612--628
\crossref{https://doi.org/10.1137/S0040585X97981299}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000234407500003}
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  • https://www.mathnet.ru/eng/tvp187
  • https://doi.org/10.4213/tvp187
  • https://www.mathnet.ru/eng/tvp/v49/i4/p653
  • This publication is cited in the following 17 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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