Let    to be a zero mean,  vector-valued, continuous-time strictly stationary process with spectral density function , . The problem of asymptotic distribution of estimate  of  on crossed intervals based on the values of    are considered where the periodograms are calculated, using data window. The first, second-order moments and cumulant of  are derived. Further, some results in this area are presented. Also, the asymptotic distribution of    on crossed intervals is derived. Our purpose, is to indicate the appearance of the Wishart distribution as an exact limiting distribution of .