A central limit theorem for generalized multilinear forms
Let X1, ..., Xn be independent random variables and define for each finite subset I [subset of] {1, ..., n} the [sigma]-algebra = [sigma]{Xi : i [epsilon] I}. In this paper -measurable random variables WI are considered, subject to the centering condition E(WI [short parallel] ) = 0 a.s. unless I [subset of] J. A central limit theorem is proven for d-homogeneous sums W(n) = [Sigma][short parallel]I[short parallel] = dWI, with var W(n) = 1, where the summation extends over all (nd) subsets I [subset of] {1, ..., n} of size [short parallel]I[short parallel] = d, under the condition that the normed fourth moment of W(n) tends to 3. Under some extra conditions the condition is also necessary.
Year of publication: |
1990
|
---|---|
Authors: | de Jong, Peter |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 34.1990, 2, p. 275-289
|
Publisher: |
Elsevier |
Keywords: | martingales d-homogeneous sums Hoeffding decomposition central limit theorem |
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