Random Toeplitz Functionals and Their Applications
Mamikon S. Ginovyan
Gebundenes Buch

Random Toeplitz Functionals and Their Applications

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This book presents recent findings on central and non-central limit theorems for Toeplitz and tapered Toeplitz random quadratic functionals of stationary processes, with applications in spectral-based statistical inference. It focuses on Gaussian, orthogonal increment-driven, and Lévy-driven linear stationary processes with memory, in both discrete and continuous time. Toeplitz matrices and operators are central to the study of stationary processes. The covariance matrix of a discrete-time stationary process is a truncated Toeplitz matrix generated by the process's spectral density; in contin...