Convergence of quadratic forms with nonvanishing diagonal

Motivated by applications to time series analysis, we establish the asymptotic normality of a quadratic form in i.i.d. random variables which has a nonvanishing diagonal. Our theory covers the case of both the finite and the infinite fourth moment, and leads to new results also in the case of a vanishing diagonal.

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Year of publication:	2007
Authors:	Bhansali, R.J. ; Giraitis, L. ; Kokoszka, P.S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 7, p. 726-734
Publisher:	Elsevier
Subject:	Asymptotic normality Quadratic form

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254369