Departure from normality of increasing-dimension martingales

DOI10.1016/J.JMVA.2008.11.004MaRDI QIDQ1012546zbMATH OpenOpenAlexFDO

Authors Ignacio Arbués

Publication date 21 April 2009

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2008.11.004

zbMATH Keywords

approximate modelsBanach spacescentral limit theoremconfidence regionsresidual autocorrelation

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Unit canonical correlations between future and past

Cited in

(1)

• Typical martingale diverges at a typical point

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