Probability Theory and Related Fields

, Volume 86, Issue 1, pp 87–104 | Cite as

A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

  • L. Giraitis
  • D. Surgailis
Article

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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References

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Copyright information

© Springer-Verlag 1990

Authors and Affiliations

  • L. Giraitis
    • 1
  • D. Surgailis
    • 1
  1. 1.Institute of Mathematics and CyberneticsVilniusLithuania

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