Functional limit theorems for random quadratic forms

compact law of the iterated logarithm functional central limit theorem independent random variables random quadratic forms Skorokhod embedding strong invariance principle symmetric double array

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Review text

Let \((X_ k)\) be a sequence of inependent random variables with E \(X_ k=0\), E \(X^ 2_ k=1\) for all \(n\geq 1\), and let \((a_{ij})\) be a symmetric double array of real numbers. Put \[ Q_ n=\sum^{n}_{i=1}\sum^{n}_{j=1}a_{ij}X_ iX_ j,\quad B_ n=var Q_ n,\quad t_{kn}=B_ k/B_ n,\quad k=0,1,2,...,n;\quad n\geq 1. \] Define \[ f_ n(t) = \begin{cases} B_ n^{-1/2}Q_ k, \text{ for } t=t_{kn},\;k=0,1,...,n,\\ \text{ linearly interpolated elsewhere, }\end{cases} \] \(0\leq t\leq 1\). Under some additional assumptions on \((X_ k)\) and \((a_{ij})\) it has been shown that \(f_ n\) converges weakly to Brownian motion. Define the process Q(t), \(t\geq 0\), by \[ Q(t) = \begin{cases} Q_ n \text{ for } t=B_ n, \\ \text{ linear interpolation elsewhere.} \end{cases} \] A strong invariance principle for Q(t) is established. An approach to the proof bases on Skorokhod embedding scheme for the martingale \(Q_ n\). As an application the compact law of the iterated logarithm like the Strassen one has been stated.

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