Summary
A central limit theorem for quadratic forms in strongly dependent linear (or moving average) variables is proved, generalizing the results of Avram [1] and Fox and Taqqu [3] for Gaussian variables. The theorem is applied to prove asymptotical normality of Whittle's estimate of the parameter of strongly dependent linear sequences.
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Giraitis, L., Surgailis, D. A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate. Probab. Th. Rel. Fields 86, 87–104 (1990). https://doi.org/10.1007/BF01207515
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DOI: https://doi.org/10.1007/BF01207515