"I know," Matilda said. "I've tried quite a few times but mine are never any good."
"You have, have you?" Miss Honey said, more startled than ever.
"Well Matilda, I would very much like to hear one of these limericks you say you have written. Could you try to remember one for us?" (from the novel Matilda)
I know that this sentence is relative clauses:
limericks you say you have written
Is this right sentence?
limericks (which) you have written (which) you say.
Well Matilda, I would very much like to hear one of these limericks [which you say you have written ___].
The bracketed element is a relative clause with "limericks" as antecedent. The "you have written" clause is not a relative clause, but a content clause embedded in the relative clause and functioning as complement of "say", so "which" would be quite wrong here. You could use "that", though it's quite unnecessary.
The relatived element "which" is object not of the relative clause itself but of the content clause embedded within it and represented by the gap notation '___'.
It could be rephrased as:
You say that you have written limericks; I would like to hear one of them.
...and it would have the same primary meaning, but it would lose a very specific emotional undertone:
The specific phrasing in your sentence casts doubt onto Matilda's claim that she had written any limericks. Normally, you'd see limericks you have written, taking the claim as true, the limericks exist, Matilda wrote them. Miss Honey uses the phrasing "you say you have written" to specifically attribute the claim to Matilda, distancing herself from it. This way she alleges a lie and demands a proof (or admission to the lie), wrapping the unfriendly allegation in a polite request.
So, it can be understood as "limericks, which (according to your claim, which I put into question) you have written."
