Lp-Approximable Sequences of Vectors and Limit Distribution of Quadratic Forms of Random Variables

The properties of L₂-approximable sequences established here form a complete toolkit for statistical results concerning weighted sums of random variables, where the weights are nonstochastic sequences approximated in some sense by square-integrable functions and the random variables are “two-wing” averages of martingale differences. The results constitute the first significant advancement in the theory of L₂-approximable sequences since 1976 when Moussatat introduced a narrower notion of L₂-generated sequences. The method relies on a study of certain linear operators in the spaces L_p and l_p. A criterion of L_p-approximability is given. The results are new even when the weight generating function is identically 1. A central limit theorem for quadratic forms of random variables illustrates the method.