Prob. Th. Rel.

Fields 72, 185-194 1986)

Probability Theory 9 Springer-Verlag1986

Related F:le4ds

Berry-Esseen Theorems for Quadratic Forms of Gaussian Stationary Processes

Masanobu Taniguchi* Hiroshima University, Dept. of Mathematics, Faculty of Science, Higashi-Sendamachi, Hiroshima 730, Japan

Summary. Let X 1 , X 2 .... be a Gaussian stationary process with spectral density f(2), and let
(XtXt+j_ 1--EXIXI+j_I) j=l,...,p.

The present paper gives a Berry-Esseen type theorem for the joint distribution of (Z1,..., Zp).

1. Introduction
The classical Berry-Esseen theorem for the arithmetic sum of independent random variables has developed in various directions. For example Does (1982) gave Berry-Esseen bounds for simple linear rank statistics from independent and identically distributed random variables. A similar result for linear combinations of order statistics was given in Helmers (1981) For stochastic processes the discussions related to this topic have proceeded. Using the method of steepest descents Daniels (1956) gav e a nonnormal approximate distribution of serial correlation coefficients and partial serial correlation coefficients for autoregressive process. Durbin (1980b) extended the results of Daniels to the case when the process is an autoregressive process with the Fourier regression part. Then he obtained the approximate distribution of partial serial correlation coefficients calculated from residuals from regression on Fourier series. As for normal approximations Erickson (1974) gave L1-Berry-Esseen bounds for sums of m-dependent random variables. Furthermore G6tze and Hipp (1983) showed that formal Edgeworth expansions are valid for sums of weakly dependent vectors. Also Durbin (1980a) showed the validity of Edge* This work was partially supported by the Grant-in-Aid of the Ministry of Education

186

M. Taniguchi

worth expansions of statistics derived from observations which are not nec essarily independent and identically distributed. Although the results of Gbtze and Hipp (1983) and Durbin (1980a) cover very general situations, their sufficient conditions for the validity are hard to check even in the fundamental statistics such as quadratic forms of a stationary process. In this paper we shall give a Berry-Esseen theorem for quadratic forms of a Gaussian stationary process {Xt}. Put

1 ZJ=~t l~=l (XlXl+j-l-EXIXl+j-1)},

J =1,.

.-,p.

Let ~bv(- ) be the normal distribution with covariance matrix V and mean 0. Then we shall prove that sup IP {(Zl, ..., Zp)e C} - ~v(C)l-- O(T- 1/2), (1.1) Ce~r where c~ is the class of all Borel-measurable convex subsets of R p. The quadratic forms are fundamental and important quantities in time series analysis (e.g., the Yule-Walker equations are described by them).

2. Asymptotic Expansions for Characteristic Functions

Let {Xt; t = 0 , +1, _+2.... } be a Gaussian stationary process with spectral density f(2) and mean 0. Here we assume that the spectral density f(2) belongs to 9, where

~ ={f:f(2).=~ a(u)exp(-iu2l, = -oo

f(2) > 0, )oe [ - ~, zc], ,=~-~

a(u)=a(-u),

[ulla(u)l<o@.

Suppose that a stretch X r =(X 1, ...,Xr)' of the series {Xt} is available. Denote the covariance matrix of X r by Z r, whose (i,j) element is R(i-j). We consider the following random vector
Z = (Z,...,

Zv)'
j = l .... ,p.

where

I ~T--j+I

(X~Xt+j_ a- R ( j - 1))},

(2.1)

Using the T x T matrix

L=

L1
0 1

Berry-Esseen Theorems for Gaussian Processes

187

It is easy to see that

1
Zj :

2 1/'1'

(X T G j_ 1 X T -- tr

G j_ 1 S r),

where G j = I d + E j, L ~ = I t , G o = 2 I r , and I r is the T x T-identity matrix. In this section we derive asymptotic expansions of the characteristic function 0(t) of Z. Direct computation yields 0(t) = E e it'z i =det I r - ~ S r ( t l G o + t 2 G i xexP-2~(tl l +... +r )-1/2 ~ (2.2)

t r G o Z r + t 2 t r G 1 X r + ... + t , t r G p _ l S r ) ,

where t =(t 1.... , tp)'. Thus we have l~189 E log 1 - ~ p j

j=l

21/~(tl trGoXr+t2trG12r+

... + t p t r G p _ l S r ) ,

(2.3)

where p j is the jth latent root of X~/z(~I G O+... +tp Gp_ 1)S~"/2- Of course each pj is a real number. Using Taylor's formula (e.g., Bhattacharya and Rao (1976, p. 57)), we have h z ih 3 h 4 1 -6 log(1 - i h ) = - i h + 2 - + ~ - + 3~.~! (1 - v ) 3 (1 - i vh) 4 dr, Notice that (1-v)3 (1 By (2.4) and (2.5), the relation (2.3) is for heR 1. (2.4)

5!hV

dv <6.

(2.5)

|ogOIt)-

1~ f

ip~ + py

ip3

~-R~(j)}

i 2 ] / ~ ( t 1 tr X r G O+ ... + tp tr X T G p_ 1), where

(2.6)

[ pj ]4
log O(t) = - 4 ~ - tr {St(t1 G O+ t z G1 + . . . +~p Gp_ 1)}2
i 1

Thus

T ~-V tr {Zr(t 1 Go + t2 G 1 q-... AV~p Gp_ t)} 3 q_ R4 ' /~l -

(2.7)

188
where [R4I ~ ~ 1

M. Taniguchi

tr {Zr(t 1 G O+ t 2 G a + . . . +tp Gp_ 1)}4.

After slight modification for Theorem i in Taniguchi (1983) we get the following lemma. Lemma 1. Suppose that f1(2), ...,f~(2)eD. We define Fll..... F~, the T x r Toeplitz type matrices, by

Then
s

~- tr F1 ... F~= ( 2 r & -

-~i=I [I

f (2)

Notice that Gj, j =0, ... , p - 1, have the following Toeplitz forms;
' G i=

(~c~
_

m, n = 1 .....

T,

(2.8)

j----0 .... ,p--1. We set down

~

Vjk = ~ - tr Z r G j_ 1 X r Gk- 1,
1 ~k,, = ~ - t r S r G j - 1 2 r Gk-1 Nr Gin- a, 1 Rjkml ---~ tr Z T Gj_ 1 ZT Gk- 1 ZT Gin- 1 ZT Gl- l, j, k, m, 1 = 1.... , p.

Then using Lemma 1 and (2.8), we get;

~k=V~k+O(T-1),

=Wjkm+O(T-1),
~ ~,,~ = R jkmz + o ( r - 1),

where ~k =47r i f ( 2)2 Cos(j - 1) 2. cos ( k - 1) ~ d2,

Wjkm= 32~Z2 i f(2)3 Cos(j -- 1) )~. cos(k - 1) 2. cos(m - 1) 2d2,

ejkml =27/r3 i f(2) 4 c o s ( j - 1) 2. c o s ( k - 1) 2. cos(m - 1) 2. c o s ( / - 1) 2 d2,
j , k , m , l = l , ...,p.

Let V be the p x p matrix whose (j, k) element is Vjk. Since f(2) belongs to and is continuous on [-~z,~zl there exists 6 > 0 such that f(2)_>_6 for all 2 e l

Berry-EsseenTheorems for Gaussian Processes --~, hi. Thus we have b ' V b = 4 n ! f(2)2 j~l"=b j c o s ( j - 1 ) 2 12d~l p

189

i
=4~Z 2

62(2b~+b~+ ... + b2)__>4zr 2 c52> 0,

(2.9)

for b=(b 1, ...,bp)', b ' b = l . Thus V is a positive definite matrix. We set down W = max ]Wjkml,
j,k,m

and

R = max [RjkmZI j,k,,,,~

][t/I : 1 / ~ + "" +t~.

Let v be the smallest latent root of V. We choose a positive number vo so that O<vo<V. Lemma 2. Assume that a positive constant d 1 satisfies 0 <d I < / W 2 p3 q_ 36Rp2 Vo _ Wp3/2 6Rp 2 (2.10)

I f we take T sufficiently large, then for all t satisfying ]ltH<=dl ]//~, the following relation holds ) i3 ~9(t) - exp { - 89t' Vt} [ +_-7~6]/Tj,k,~Z Wjk~, tjt k t@

<exp{ - s t Q ~ t } x l i t l l 6 O(T -~) 1, +exp{ - 89 Vt} { IltlI2 0 ( T - ~ ) + IlttL40(T- 1)},

where QI is a positive definite matrix. Proof By (2.7) we have

(2.11)

Iog~(t)+ 89 i,k where

17Vjkmtjt~tm=R4, 61/T j,k,~

(2.12)

1 ~ IR4[__<f ~ - ./,__~.~,,,' Rjk~l tj t k t m t z. Thus llog ~p(t)

j,k

i
0 ] / I j,k,m 2

tm
~

Rp <lltl[Zo(T-X)+llt[130(T-3/z)+~-[ltll

+ [ItH40(T -

2).

(2.13)

190 While from (2.12) we have Ilog ~(t) + i t ' Vtl

M. Taniguchi

< Wp3/2 3+ Iltll30(Z-3/2)+lltllZO(Z -1 )+~-Iltll +lltll40(T -2) =61/@-Iltll RPZ

9

+ ~ )

Iltll

for [It]l

Using (2.13), (2.14) and relation

we have, for Iltll <dll/@-,

O(t)--exp{- 89

<exp{ --it' Vt} x lexp {log O(t) + 89 Vt} -(1 +log ~,(t)+89 Vt)l +expi- 89 x

log ~b(t)+89 Vt-6_/~ ~, VCjkmtjtktm V i3

j,k,m

<exp{ - i t' Vt} x ~ [ ~ - ~

1 5WP3/z

RP z Iltl]3+~-Iltll~+

I]tl[zO(T -1)

t2
J

+exp{ - i t' Vt}

Rp2 Iltll~+

IltllZO(r-')}
iltlf40(T- t)}.
(2.15)

=exp[- 89

t-Rp2d2)lr+O(T-1)}t]x{lltll60(T-~)}

+ exp { - 89 Vt} x { litll2 0 ( T - 1)+ Since d 1 satisfies (2.10), then

v~
Lemma 3.

Wp3/Zdl RpZ d2>O' 3

[3

which implies the relation (2.11).

For every c~> 0,

P(Izjl > T ~) =

O(T - ~/2),

(2.16)

for j= l, ...,p. Proof Let C rj,. be the nth order cumulant of Z~. We can represent
C j,, =2-n T-n/2cumV, y'l./2 Gj_x Z~/2 r L--~-r

YT,'", Y~X~"/zGj-1 S~/2 Yr},

Berry-Esseen Theorems for Gaussian Processes

191

where Y~=(Y1,..-, Yr) is a random vector distributed as N(0, Ir). Denote the (k, l)th component of X L]2 Gj_ 1 z~1/2 by c~). Then using the fundamental properties of cumulant, we have
T T T ... T 9

C j,n = 2 T

2 2 p(j,l ~kl/ kn=I ln=I x cum { Yk~Yl~,-.-, YknYz.},

kl=l /1=1

-n

T-n/2 2

"(J' ~knln

(2.17)

(see Theorem 2.3.1 of Brillinger (1975)). Noting Theorem 2.3.2 of Brillinger (1975), it is not difficult to show
crj, n = 0 { T -n/2 tr(G~_ 1 ZT)"}"

By Lemma 1, we have tr(Gj_l s

which implies for n_->2 for n = l . (2.18)

c r =~O(T-n/2+l),
~'" (0,

For general random variables U1,..., U, it is known that

E(U~... U,) = ~, cum { Uj(j~v t)} ... cum { Uj(j~ v,)},

v

(2.19)

where the summation is over all partitions (vz, v2.... , vp) (p = 1.... , n) of integers 1, ..., n (see Brillinger (1975)). Using (2.18) and (2.19) we can see that

E Z 2" =0(1).
By Cebygev's inequality and choosing n so that n > 1/4 c~, we have

(2.20)

P {IZjl > T ~} <= E(Zj)Z"/T 2"~ = O ( T - a,~) = O ( T - ~/2),

which completes the proof.

3. Rates of Weak Convergence In this Section we shall give a Berry-Esseen type theorem for Z. Let PT and (bv be the probability distributions of Z and N(0, V), respectively. We set down L ( f ) =sup {If(x) -f(Y)l; x, y 6RP}, for real-valued, Borel-measurable function f on R p. Also we define

wf(2 e: q~v) =sup l-~ sup {If(x I +y) - f ( x 2 +Y)I: xl, x26B(x: 2e)} ~v(dx): y~RV],
where B(x: 2e) ={z: [Iz-xil <2e}. Then we get the following smoothing lemma (see Bhattacharya and Rao (1976, p. 97-98 and p. 113)). Lemma 4. Let ~ be a positive number. For every real-valued, bounded, Borelmeasurable function f on R p, there exists a kernel probability measure K~ such

192

M. Taniguchi

that [Sfd(er- ~bv)l <-~ [ 89 where K s statisfies

x N(Pr--q~v).K~N + w f ( 2 q (by)l, (3.1)

and the Fourier transform Is satisfies

/s

for Ntll ~8p4/3/7cI/3g.

Here II(er-~bv)* K~l[ is the variation norm of (Pr-4~v)*K~. N o w we have the following theorem.
Theorem 1. Let Pr and q~v be the probability distributions of Z and N(O, V), respectively. Then for every real-valued, bounded, Borel-measurable function f on R I~ '

If.fd(Pr-+v)l=O(Tli2)+ w

. (d116p4i3

7Z1/3 -V~-

"v)"

(3.3)

Proof. Put e=8p41a/(dl ~zl/3l//T), where d 1 > 0 is defined in L e m m a 2. Then

/s For B e N p, Borel set of R p, define for Ilill > d j l/T-. (3.4)

where Y=(Yl .... ,Yp)', and H " ' -- ( -- 1) 03 jk,,tYJ - N ~ : i/) Oyj Oyk Oym N(y: V),
1

N(y: V)=(2rc) -'/2 Ir1-1/2 exp{ - 8 9 V -~ y},

and put Q r = P r - ~ b v - ~ - ~ ~ . Notice that II(PT-- <S'v)* G II = 2 sup {I(PT - q~v)*K.(B)l; BeMv} < 2 sup { I(P - q)v)* Ks(B)I; B e ~v and B c B(0, 7 r)} T

+2sup{l(Pr-~v)*K~(B)l;Be~V and B c B ( 0 , yr)c},

where yr =T~, 0<c~__< 1/2p. For B c B ( 0 , T r ) ~, we have I(Pz--~v)*K~(B)I < IPr*K~(B)l + I~v */~(B)l _-<P(llZ II >=~ r/2) + Ks (B (O, ~ r/R) ~) +
Ilxll

(3.5)

j" 4~v(dx ) + K~(B(O, ?r/2)~). >YTi2

(3.6)

Berry-Esseen Theorems for Gaussian Processes It is easy to check 9 v(dx)

]lxll >~T/2

193

=O(T-

1).

(3.7)

L e m m a 3 implies P(llZ[I While (3.2) implies K~ (B(0, ?T) ~) = O(T-~/2). N o w we have only to evaluate sup {](PT - Here it holds that
~v) *

>Vr/2) < ~ P([Zjl>=TT/(2pl/2))=O(T-1/2). j=l

(3.8)

K~(B)] ; B c B(0, ~T)}"

[(PT-~v),KAB)I<=i(2r,K~(B)I+T-~/~I~'x,K~(B)I,
By Fourier inversion we have

for

BcB(O, yT).

(3.9)

~ZP/2p IQT*K~(B)I<(2~)-'P-F (~2 ~ i~T(t)/(~(t)l

dt.

(3.10)

By (3.4) and L e m m a 2 the integral in the right hand side of (3.10) is d o m i n a t e d by Thus we get

~
IIt[I<=dl]/r

IQr(t)ldt=O(r-~).
for

(3.11)

IQr,K~(B)I=O(T-1/2),
Noting that

BcB(O,?T ).

I~,K~(B)I~89163189 gp N(y:V) j,k,m ~-WJkm S ~ u Hjk'~(Y) [dY,

we have c o m p l e t e d the proof. Let c~ be the class of all Borel-measurable convex subsets of we take f =I c (indicator function) in T h e o r e m 1, we have,
Theorem 2.

R;.

If, C ~ ,

sup
CsC~

IPT(C) -- ~v(C)] = O(T- 1/2).

References

1. Bhattacharya, R.N., Rao R.R.: Normal approximation and asymptotic expansions. New York: Wiley 1976 2. Brillinger, D.R.: Time series: data analysis and theory. New York: Holt 1975 3. Daniels, H.E.: The approximate distribution of serial correlation coefficients. Biometrika 43, 169-185 (1956) 4. Does, R.J.M.M.: Berry-Esseen theorems for simple linear rank statistics under the null-hypothesis. Ann. Probab. 10, 982-991 (1982)

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M. Taniguchi

5. Durbin, J. : Approximations for densities of sufficient estimators. Biometrika 67, 311-333 (1980a) 6. Durbin, J.: The approximate distribution of partial serial correlation coefficients calculated from residuals from regression on Fourier series. Biometrika 67, 335-349 (1980b) 7. Erickson, R.V.: L 1 bounds for asymptotic normality of m-dependent sums using Stein's technique. Ann. Probab. 2, 522-529 (1974) 8. G6tze, F., Hipp, C.: Asymptotic expansions for sums of weakly dependent random vectors. Z. Wahrscheinlichkeitstheor. Verw. Geb. 64, 211-239 (1983) 9. Helmers, R.: A Berry-Esseen theorem for linear combinations of order statistics. Ann. Probab. 9, 342-347 (1981) 10. Taniguchi, M.: On the second order asymptotic efficiency of estimators of Gaussian A R M A processes. Ann. Stat. 11, 157-169 (1983) Received January 15, 1985; in revised form October 1, 1985