Laws of large numbers for semimartingales with applications to stochastic regression (Q1113519)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Laws of large numbers for semimartingales with applications to stochastic regression |
scientific article |
Statements
Laws of large numbers for semimartingales with applications to stochastic regression (English)
0 references
1989
0 references
Strong laws of large numbers for matrix-normalized vector-valued local martingales are established. The results are derived from strong laws for positive local submartingales and purely discontinuous local martingales and a Borel-Cantelli-type lemma for local martingales of finite variation. The multivariate strong laws are applied to study strong consistency of estimates in stochastic linear regression models.
0 references
Strong laws of large numbers
0 references
local martingales
0 references
local submartingales
0 references
Borel-Cantelli-type lemma for local martingales of finite variation
0 references
strong consistency of estimates
0 references
linear regression models
0 references
0 references
0 references
