Bartlett type identities for martingales (Q1327830)

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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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