A law of the iterated logarithm for geometrically weighted martingale difference sequences (Q1322913)
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scientific article; zbMATH DE number 566139
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| English | A law of the iterated logarithm for geometrically weighted martingale difference sequences |
scientific article; zbMATH DE number 566139 |
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A law of the iterated logarithm for geometrically weighted martingale difference sequences (English)
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9 May 1994
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Let \(Y_ n\), \(n\geq 1\), be a stationary and ergodic martingale difference sequence with \(E(Y^ 2_ 0)=1\), and for \(\beta<1\) set \(\xi(\beta)= \sum_{n=0}^ \infty \beta^ n Y_ n\). It is shown that the random variables \(\xi(\beta)\), when suitably normalized, obey a law of the iterated logarithm and a central limit theorem as \(\beta \nearrow 1\).
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stationary and ergodic martingale difference sequence
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law of the iterated logarithm
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central limit theorem
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