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Can I read The Asymptotic Behavior of Quadratic Forms in Heavy-tailed Strongly Dependent Random Variables on EtoBox?
The Asymptotic Behavior of Quadratic Forms in Heavy-tailed Strongly Dependent Random Variables by Piotr S. Kokoszka; Murad S. Taqqu is a Mathematics article available to read on EtoBox.
What is The Asymptotic Behavior of Quadratic Forms in Heavy-tailed Strongly Dependent Random Variables about?
Suppose that X, = c,zs CjZt-j is a stationary linear sequence with regularly varying cj's and with innovations {Z,} that have infinite variance. Such a sequence can exhibit both high variability and strong dependence. The quadratic form Qn = c:,,=, ?j(t -syC,X, plays an important role in the estimation of the intensity of strong dependence. In contrast with the finite variance case, n-"'(Q,, -EQ,,) d oes not converge to a Gaussian distribution. We provide conditions on the Cj's and on G for the quadratic form Q., adequately normalized and randomly centered, to converge to a stable law of index CL, 1 < tl < 2, as n tends to infinity.
Who reads The Asymptotic Behavior of Quadratic Forms in Heavy-tailed Strongly Dependent Random Variables?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Piotr S. Kokoszka; Murad S. Taqqu
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4149)
- Published
- 1997
- Language
- EN
- Field
- Mathematics (Physical Sciences)