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arXiv · 1511.02723

Variance inequalities for quadratic forms with applications

Pavel Yaskov
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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.

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Pavel Yaskov. 2015-11-09. Variance inequalities for quadratic forms with applications. https://doi.org/10.3103/s1066530715040055

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