Asymptotic normality of quadratic forms of martingale differences

We establish the asymptotic normality of a quadratic form QnQn in martingale difference random variables ηtηt when the weight matrix A of the quadratic form has an asymptotically vanishing diagonal. Such a result has numerous potential applications in time series analysis. While for i.i.d. random variables ηtηt, asymptotic normality holds under condition ||A||sp=o(||A||)||A||sp=o(||A||), where ||A||sp||A||sp and ||A|| are the spectral and Euclidean norms of the matrix A, respectively, finding corresponding sufficient conditions in the case of martingale differences ηtηt has been an important open problem. We provide such sufficient conditions in this paper.