Asymptotic expansions for martingales

DOI10.1214/aop/1176989268zbMath0776.60047MaRDI QIDQ686763

Per Aslak Mykland

Publication date: 11 October 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989268

zbMATH Keywords

time series; Markov processes; Edgeworth expansions; Skorokhod embedding; bootstrapping; triangular array

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60G42: Martingales with discrete parameter

62M09: Non-Markovian processes: estimation

60J05: Discrete-time Markov processes on general state spaces

60F99: Limit theorems in probability theory

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