Abstract:
We consider the statistic of the form
Qn=N∑j=1ajj(X2j−μ2)+∑1⩽j≠k⩽NajkXjXk,
where Xj are i.i.d. random variables with the finite sixth moment. We obtain the rate of convergence in the central limit theorem for one term Edgeworth expansion. Furthermore,
applications to Toeplitz matrices, quadratic form of ARMA-processes, goodness-of-fit as well as spacing statistics are included.
Citation:
F. Götze, A. N. Tikhomirov, V. A. Yurchenko, “Asymptotic expansion in the central limit theorem for quadratic forms”, Probability and statistics. Part 11, Zap. Nauchn. Sem. POMI, 341, POMI, St. Petersburg, 2007, 81–114; J. Math. Sci. (N. Y.), 147:4 (2007), 6891–6911
\Bibitem{GotTikYur07}
\by F.~G\"otze, A.~N.~Tikhomirov, V.~A.~Yurchenko
\paper Asymptotic expansion in the central limit theorem for quadratic forms
\inbook Probability and statistics. Part~11
\serial Zap. Nauchn. Sem. POMI
\yr 2007
\vol 341
\pages 81--114
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl135}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2363586}
\zmath{https://zbmath.org/?q=an:1123.60013}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2007
\vol 147
\issue 4
\pages 6891--6911
\crossref{https://doi.org/10.1007/s10958-007-0512-8}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-36049052572}
Linking options:
https://www.mathnet.ru/eng/znsl135
https://www.mathnet.ru/eng/znsl/v341/p81
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D. Bagkavos, P.N. Patil, “A new test of independence for bivariate observations”, Journal of Multivariate Analysis, 160 (2017), 117
Fei Jin, Lung-fei Lee, “On the bootstrap for Moran's I test for spatial dependence”, Journal of Econometrics, 184:2 (2015), 295
Jia Chen, Jiti Gao, Degui Li, Zhengyan Lin, “Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models: Theory and Practice”, SSRN Journal, 2013
Nourdin I., Peccati G., “Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields”, Ann. Probab., 37:6 (2009), 2231–2261