A uniform CLT for uniformly bounded families of martingale differences

DOI10.1007/BF01054016zbMath0681.60023MaRDI QIDQ1823536

Shlomo Levental

Publication date: 1989

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

metric entropyempirical central limit theoremstationary martingale difference sequence

Mathematics Subject Classification ID

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

Related Items (12)

Nonparametric tests for conditional symmetry in dynamic models ⋮ Uniform CLT for Markov chains and its invariance principle: A martingale approach ⋮ On weak invariance principles for partial sums ⋮ Bootstrap model selection for possibly dependent and heterogeneous data ⋮ Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean ⋮ A weak convergence result useful in robust autoregression ⋮ On the Behavior of the Constant in a Decoupling Inequality for Martingales ⋮ The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process ⋮ Weak convergence of non-stationary multivariate marked processes with applications to martingale testing ⋮ Specification tests of parametric dynamic conditional quantiles ⋮ A general class of exponential inequalities for martingales and ratios ⋮ Nearest neighbor conditional estimation for Harris recurrent Markov chains

Cites Work

• Some limit theorems for empirical processes (with discussion)
• Best constants in moment inequalities for linear combinations of independent and exchangeable random variables
• The Lindeberg-Levy Theorem for Martingales
• Convergence of stochastic processes
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