On the necessity of the Lindeberg condition for the normal convergence of martingales

DOI10.1023/A:1010217800645MaRDI QIDQ1566447zbMATH OpenOpenAlexFDO

Authors V. M. Kruglov

Publication date 15 June 2003

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1010217800645

zbMATH Keywords

Lindeberg conditionLindeberg-Feller theoremnormal convergence of martingales

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42)

Review text

The author considers the central limit theorem for a sequence of square-integrable martingales \(S_{n,k},\) \(0\leq k\leq k_n,\) \(S_{n,0}=0\). It is proved that the ``conditional Lindeberg condition follows from the normal convergence of sums \(S_{n,k}\) under some conditions. The result is related to the one obtained by \textit{A. G. Sholomitskij} [Theory Probab. Appl. 43, 434-448 (1998); translation from Teor. Veroyatn. Primen. 43, 490-508 (1998; Zbl 0954.60016)]. The conditions in both results are different.

Recommendations

• On the necessity of the conditional Lindeberg condition for normal convergence of martingales
• On the Necessary Conditions of Poisson Convergence for Martingales
• On the Necessary Conditions of Normal Convergence for Martingales
• scientific article; zbMATH DE number 4098414
• scientific article; zbMATH DE number 3944945

Cited in

(4)

• On the necessity of the conditional Lindeberg condition for normal convergence of martingales
• Martingale approximation and optimality of some conditions for the central limit theorem
• scientific article; zbMATH DE number 4098414 (Why is no real title available?)
• On the Necessary Conditions of Normal Convergence for Martingales

This page was built for publication: On the necessity of the Lindeberg condition for the normal convergence of martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1566447)