A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
研究了鞅差序列二次型的中心极限定理，在温和条件下成立，并应用于平稳过程谱密度函数的平滑周期图估计，适用于多种非线性时间序列。
We consider quadratic forms of martingale differences and establish a central limit theorem under mild and easily verifiable conditions. By approximating Fourier transforms of stationary processes by martingales, our central limit theorem is applied to the smoothed periodogram estimate of spectral density functions. Our results go beyond earlier ones by allowing a variety of nonlinear time series and by avoiding strong mixing and/or summability conditions on joint cumulants.We thank the two reviewers for their detailed comments, which led to substantial improvements. The work is supported in part by NSF grant DMS-0478704.