On the central limit theorem for point process martingales (Q1332877): Difference between revisions
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Revision as of 02:58, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | On the central limit theorem for point process martingales |
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On the central limit theorem for point process martingales (English)
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12 March 1995
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Under a ``Lyapunov type'' condition the author gives a simple proof of the scalar central limit theorem for point process martingales when the point process is square integrable and the associated quadratic variation process is asymptotically deterministic. The proof is based on a result of Guiasu (1971) concerning random time changes of quadratic variation of square integrable martingales and mixing (stable) convergence.
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mixing convergence
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point process
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random time change
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stable convergence
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central limit theorem
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quadratic variation of square integrable martingales
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