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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp187https://doi.org/10.4213/tvp187 https://www.mathnet.ru/eng/tvp/v49/i4/p653
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Abstract page: | 512 | Full-text PDF : | 192 | References: | 85 |
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