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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2004 Volume 49, Issue 4, Pages 653–671 (Mi tvp187)

This article is cited in 17 papers

On the central limit theorem for Toeplitz quadratic forms of stationary sequences

A. A. Sahakian, M. S. Ginovyan

Institute of Mathematics, National Academy of Sciences of Armenia

Abstract: Let $X(t)$, $t = 0,\pm1,\ldots$, be a real-valued stationary Gaussian sequence with a spectral density function $f(\lambda)$. The paper considers the question of applicability of the central limit theorem (CLT) for a Toeplitz-type quadratic form $Q_n$ in variables $X(t)$, generated by an integrable even function $g(\lambda)$. Assuming that $f(\lambda)$ and $g(\lambda)$ are regularly varying at $\lambda=0$ of orders $\alpha$ and $\beta$, respectively, we prove the CLT for the standard normalized quadratic form $Q_n$ in a critical case $\alpha+\beta=\frac{1}{2}$.
We also show that the CLT is not valid under the single condition that the asymptotic variance of $Q_n$ is separated from zero and infinity.

Keywords: stationary Gaussian sequence, spectral density, Toeplitz-type quadratic forms, central limit theorem, asymptotic variance, slowly varying functions.

Received: 17.05.2004

DOI: 10.4213/tvp187


 English version:
Theory of Probability and its Applications, 2005, 49:4, 612–628

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