Abstract:
Let X(t), t=0,±1,…, be a real-valued
stationary Gaussian sequence with a spectral density function
f(λ). The paper considers the question of
applicability of the central limit theorem (CLT) for a
Toeplitz-type quadratic form Qn in variables X(t),
generated by an integrable even function g(λ).
Assuming that f(λ) and g(λ) are
regularly varying at λ=0 of orders α and β,
respectively, we prove the CLT for the standard normalized
quadratic form Qn in a critical case
α+β=12.
We also show that the CLT is not valid under
the single condition that the asymptotic variance of Qn
is separated from zero and infinity.
Citation:
A. A. Sahakian, M. S. Ginovyan, “On the central limit theorem for Toeplitz quadratic forms
of stationary sequences”, Teor. Veroyatnost. i Primenen., 49:4 (2004), 653–671; Theory Probab. Appl., 49:4 (2005), 612–628