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dc.contributor.authorTaqqu, Muraden_US
dc.contributor.authorGiraitis, Liudasen_US
dc.contributor.authorTaniguchi, Masanobuen_US
dc.date.accessioned2019-08-29T13:05:50Z
dc.date.available2019-08-29T13:05:50Z
dc.date.issued2016
dc.identifierhttps://link.springer.com/article/10.1007/s11203-016-9143-3
dc.identifier.citationM. Taqqu, Liudas Giraitis, Masanobu Taniguchi. "Asymptotic normality for quadratic forms of martingale differences." Statistical Inference for Stochastic Processes, https://doi.org/10.1007/s11203-016-9143-3
dc.identifier.issn1387-0874
dc.identifier.urihttps://hdl.handle.net/2144/37512
dc.description.abstractWe establish the asymptotic normality of a quadratic form Qn in martingale difference random variables ηt when the weight matrix A of the quadratic form has an asymptotically vanishing diagonal. Such a result has numerous potential applications in time series analysis. While for i.i.d. random variables ηt , asymptotic normality holds under condition ||A||sp = o(||A||), where ||A||sp and ||A|| are the spectral and Euclidean norms of the matrix A, respectively, finding corresponding sufficient conditions in the case of martingale differences ηt has been an important open problem. We provide such sufficient conditions in this paper.en_US
dc.publisherKluwer Academic Publishersen_US
dc.relation.ispartofStatistical Inference for Stochastic Processes
dc.rights© The Author(s) 2016. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.en_US
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectStatistics & probabilityen_US
dc.subjectStatisticsen_US
dc.titleAsymptotic normality for quadratic forms of martingale differencesen_US
dc.typeArticleen_US
dc.description.versionPublished versionen_US
dc.identifier.doi10.1007/s11203-016-9143-3
pubs.elements-sourcemanual-entryen_US
pubs.notesOpen Accessen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
pubs.publication-statusPublished onlineen_US
dc.date.online2016
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, M)
dc.identifier.mycv188218


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© The Author(s) 2016. Open Access.
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Except where otherwise noted, this item's license is described as © The Author(s) 2016. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.