A note on a method to compute the asymptotic Distribution of the sample second order moments of dynamic linear normal variables

This paper describes a method for the computation of the asymptotic distribution of any statistic or estimator which is a continuous function of sample second order moments of random variables having a dynamic linear normal distribution of the form : Zt = IIt-1 + εt where εt iN(0, σ) The method uses a general theorem due to Hannan [1970] and simplifies it in decomposing II in Jordan canonical form