Martingale invariance principles

DOI10.1214/AOP/1176995657MaRDI QIDQ1257286zbMATH OpenOpenAlexWikidataFDO

Authors Peter Hall

Publication date 1977

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

Full work available at URL https://doi.org/10.1214/aop/1176995657

zbMATH Keywords

Converge in Distribution to Brownian MotionInvariance TheoremSquare-Integrable Martingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Functional limit theorems; invariance principles (60F17)

Cited in

(15)

• Invariance principles for stochastic area and related stochastic integrals
• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• On the functional central limit theorem for martingales, II
• Heteroskedastic time series with a unit root
• scientific article; zbMATH DE number 3776572 (Why is no real title available?)
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Asymptotic theory for zero energy functionals with nonparametric regression applications
• An extended martingale limit theorem with application to specification test for nonlinear co-integrating regression model
• A class of martingales with non-symmetric limit distributions
• G-stable convergence of semimartingales
• Efficiency in local differential privacy
• On an optimal asymptotic property of the maximum likelihood estimator of a parameter from a stochastic process
• On the distribution of a double stochastic integral
• Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions

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