L. Giraitis et Ms. Taqqu, LIMIT-THEOREMS FOR BIVARIATE APPELL POLYNOMIALS .1. CENTRAL LIMIT-THEOREMS, Probability theory and related fields, 107(3), 1997, pp. 359-381
Consider the stationary linear process X(t) = Sigma(u=-infinity)(infin
ity) a(t-u)xi(u), t is an element of Z, where {xi(u)} is an i.i.d. fin
ite variance sequence. The spectral density of {X(t)} may diverge at t
he origin (long-range dependence) or at any other frequency. Consider
now the quadratic form Q(N) = Sigma(t,s=1)(N)b(t - s)P-m,P-n(X(t), X(s
)), where P-m,P-n(X(t), X(s)) denotes a non-linear function (Appell po
lynomial). We provide general conditions on the kernels b and a for N(
-1/2)Q(N) to converge to a Gaussian distribution. We show that this co
nvergence holds if b and a are not too badly behaved. However, the goo
d behavior of one kernel may compensate for the bad behavior of the ot
her. The conditions are formulated in the spectral domain.