Some convergence results on quadratic forms for random fields and application to empirical covariances (Q639875)

This paper considers the convergence in distribution of quadratic forms defined as the weighted sum of the cross-products from a sequence of \(d\)-dimensional stationary \(L^2\) Gaussian random fields having long memory. When \(d=1\), both central and non-central limit theorems have been proved under various conditions on the spectral density \(f\) of the sequence and weight function \(g\) defining the quadratic forms. When \(d>1\), a central limit theorem has been proved but few results are available on a non-central limit theorem. In this paper, a non-central limit theorem is provided for the convergence of the quadratic form under a general condition on \(f\) and \(g\) in the case \(d>1\). Some examples, where the general condition is satisfied, are given. As an application of the main result, the asymptotic distributions of an empirical auto-covariance function are derived under various conditions.