Cookies?
Library Header Image
LSE Research Online LSE Library Services

On asymptotic distributions of weighted sums of periodograms

Giraitis, Liudas and Koul, Hira L. (2013) On asymptotic distributions of weighted sums of periodograms. Bernoulli, 19 (5B). pp. 2389-2413. ISSN 1350-7265

[img]
Preview
PDF - Published Version
Download (320kB) | Preview
Identification Number: 10.3150/12-BEJ456

Abstract

We establish asymptotic normality of weighted sums of periodograms of a stationary linear process where weights depend on the sample size. Such sums appear in numerous statistical applications and can be regarded as a discretized versions of quadratic forms involving integrals of weighted periodograms. Conditions for asymptotic normality of these weighted sums are simple, minimal, and resemble Lindeberg–Feller condition for weighted sums of independent and identically distributed random variables. Our results are applicable to a large class of short, long or negative memory processes. The proof is based on sharp bounds derived for Bartlett type approximation of these sums by the corresponding sums of weighted periodograms of independent and identically distributed random variables.

Item Type: Article
Official URL: http://www.bernoulli-society.org/index.php/publica...
Additional Information: © 2013 ISI/BS
Divisions: Economics
Subjects: Q Science > QA Mathematics
Sets: Departments > Economics
Date Deposited: 06 Aug 2014 08:12
Last Modified: 20 Feb 2019 10:42
URI: http://eprints.lse.ac.uk/id/eprint/58685

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics