Moment bounds and central limit theorem for functions of Gaussian vectors
Statistics & Probability LettersPublished 1 September 2001
Philippe Soulier
Citations35
SJR quartileQ2
SJR score0.48
SNIP0.94
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Abstract
In this note, bounds for moments of functions of Gaussian vectors are proved, generalizing earlier results by Taqqu (Z. Wahrscheinlichkeitstheorie verw. Gebite 40 (1977) 203) and Arcones (Ann. probab. 15 (4) (1994) 2243). These bounds are used to derive a Lindeberg–Levy central limit theorem for triangular arrays of functions of Gaussian vectors. Statistical applications for long range dependent processes are given.
Keywords
Computer ScienceMathematicsEconomics, Econometrics and Finance
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