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On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields

Florin AvramNikolai LeonenkoLudmila Sakhno — 2010

ESAIM: Probability and Statistics

Many statistical applications require establishing central limit theorems for sums/integrals S T ( h ) = t I T h ( X t ) d t or for quadratic forms Q T ( h ) = t , s I T b ^ ( t - s ) h ( X t , X s ) d s d t , where is a stationary process. A particularly important case is that of Appell polynomials ( ) = ( ), ( , ) = ( , ), since the “Appell expansion rank" determines typically the type of central limit theorem...

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