On the central limit theorem for point process martingales (Q1332877): Difference between revisions

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.