Ps. Kokoszka et Ms. Taqqu, THE ASYMPTOTIC-BEHAVIOR OF QUADRATIC-FORMS IN HEAVY-TAILED STRONGLY DEPENDENT RANDOM-VARIABLES, Stochastic processes and their applications, 66(1), 1997, pp. 21-40
Suppose that X(t) = Sigma(j = 0)(infinity)c(j)Z(t - j) is a stationary
linear sequence with regularly varying c(j)'s and with innovations {Z
(j)} that have infinite variance. Such a sequence can exhibit both hig
h variability and strong dependence. The quadratic form Q(n) = Sigma(t
1s = 1)(n) <(eta)over cap>(t - s)X(t)X(s) plays an important role in t
he estimation of the intensity of strong dependence. In contrast with
the finite variance case, n(-1/2)(Q(n) - EQ(n)) does not converge to a
Gaussian distribution, We provide conditions on the c(j)'s and on <(e
ta)over cap> for the quadratic form Q(n), adequately normalized and ra
ndomly centered, to converge to a stable law of index alpha, 1 < alpha
< 2, as n tends to infinity.