Variance inequalities for quadratic forms with applications
Probability
2016-03-07 v1
Abstract
We obtain variance inequalities for quadratic forms of weakly dependent random variables with bounded fourth moments. We also discuss two application. Namely, we use these inequalities for deriving the limiting spectral distribution of a random matrix and estimating the long-run variance of a stationary time series.
Cite
@article{arxiv.1511.02723,
title = {Variance inequalities for quadratic forms with applications},
author = {Pavel Yaskov},
journal= {arXiv preprint arXiv:1511.02723},
year = {2016}
}