A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate |
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| Authors: | L Giraitis D Surgailis |
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| Institution: | (1) Institute of Mathematics and Cybernetics, SU-232600 Vilnius, Lithuania |
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| Abstract: | Summary 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. |
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