Bartlett type identities for martingales (Q1327830): Difference between revisions
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Latest revision as of 00:03, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bartlett type identities for martingales |
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Bartlett type identities for martingales (English)
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29 June 1994
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The Bartlett identities for moments and cumulants of log likelihood derivatives are a very powerful tool in likelihood inference, leading to some quite general results in that area. This paper shows that these identities also apply to martingales. As applications, the author gives a cumulant-based proof of the martingale central limit theorem and an algorithm for calculating approximate cumulants of least squares estimators in AR(1) processes.
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Bartlett identities
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moments
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cumulants
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log likelihood derivatives
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likelihood inference
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martingale central limit theorem
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least squares estimators
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AR(1) processes
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