Convergence
to a Gaussian limit as the normalization exponent tends to 1/2
Norma Terrin
Murad S. Taqqu
Abstract:
Certain
quadratic forms with long-range dependence, normalized by with ,
have a non-Gaussian limit, but under further normalization, as , the limit becomes Gaussian.
with 
,
have a non-Gaussian limit, but under further normalization, as 
, the limit becomes Gaussian.