Asymptotic Distribution of Random Quadratic Forms

Authors Bhaswar B. Bhattacharya, Sayan Kumar Das, Somabha Mukherjee, Sumit Mukherjee

Publication date 5 March 2022

Abstract: In this paper we characterize all distributional limits of the random quadratic form

T_{n} = s u m_{1 l e u < v l e n} a_{u, v} X_{u} X_{v}

, where

((a_{u, v}))_{1 l e u, v l e n}

is a

0, 1

-valued symmetric matrix with zeros on the diagonal and

X_{1}, X_{2}, l d o t s, X_{n}

are i.i.d.~ mean

0

variance

1

random variables with common distribution function

F

. In particular, we show that any distributional limit of

S_{n} := T_{n} / s q r t m a t h r m V a r [T_{n}]

can be expressed as the sum of three independent components: a Gaussian, a (possibly) infinite weighted sum of independent centered chi-squares, and a Gaussian mixture with a random variance. As a consequence, we prove a fourth moment theorem for the asymptotic normality of

S_{n}

, which applies even when

F

does not have finite fourth moment. More formally, we show that

S_{n}

converges to

N (0, 1)

if and only if the fourth moment of

S_{n}

(appropriately truncated when

F

does not have finite fourth moment) converges to 3 (the fourth moment of the standard normal distribution).

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