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The Approximate Densities Of Some Quadratic Forms Of Stationary Random Variables

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  • Juan Carlos Abril

Abstract

. First we obtain a convenient way of expressing the determinant of the difference between an identity matrix and some products of Toeplitz matrices. Then, using these results, we show that for a large number of normal processes there exist some quadratic forms whose matrices are of Toeplitz type such that their joint density admits an Edgeworth expansion.

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  • Juan Carlos Abril, 1987. "The Approximate Densities Of Some Quadratic Forms Of Stationary Random Variables," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 249-259, May.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:3:p:249-259
    DOI: 10.1111/j.1467-9892.1987.tb00437.x
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