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A central limit theorem for generalized multilinear forms
Authors:Peter de Jong
Abstract:Let X1, …, Xn be independent random variables and define for each finite subset I {1, …, n} the σ-algebra = σ{Xi : i ε I}. In this paper -measurable random variables WI are considered, subject to the centering condition E(WI ) = 0 a.s. unless I J. A central limit theorem is proven for d-homogeneous sums W(n) = ΣI = dWI, with var W(n) = 1, where the summation extends over all (nd) subsets I {1, …, n} of size I = d, under the condition that the normed fourth moment of W(n) tends to 3. Under some extra conditions the condition is also necessary.
Keywords:martingales  d-homogeneous sums  Hoeffding decomposition  central limit theorem
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