Martingale methods in statistics

DOI10.1201/9781315117768MaRDI QIDQ4956948zbMATH OpenFDO

Authors Yoichi Nishiyama

Publication date 2 September 2021

Full work available at URL https://doi.org/10.1201/9781315117768

zbMATH Keywords

martingaletime series data

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Martingales with sufficient statistics
• Martingales in the Study of Randomness
• Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
• Tests for counting sequences of integer-valued autoregressive models
• Sparse estimations for models of high-dimensional stochastic processes and time series
• The martingale method: Introductory sketch and access to the literature

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