A uniform CLT for uniformly bounded families of martingale differences

DOI10.1007/BF01054016MaRDI QIDQ1823536zbMATHFDO

Authors 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

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

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Cites work

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• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• Best constants in moment inequalities for linear combinations of independent and exchangeable random variables
• Convergence of stochastic processes
• Some limit theorems for empirical processes (with discussion)
• The Lindeberg-Levy Theorem for Martingales

Cited in

(18)

• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
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• Specification tests of parametric dynamic conditional quantiles
• Nonparametric tests for conditional symmetry in dynamic models
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• A weak convergence result useful in robust autoregression
• Bootstrap model selection for possibly dependent and heterogeneous data
• The uniform CLT for martingale difference of function-indexed process under uniformly integrable entropy
• Sequential complexities and uniform martingale laws of large numbers
• The uniform CLT for martingale difference arrays under the uniformly integrable entropy
• On the Behavior of the Constant in a Decoupling Inequality for Martingales
• Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
• A CLT for multi-dimensional martingale differences in a lexicographic order
• A general class of exponential inequalities for martingales and ratios
• The second central limit theorem for martingale difference arrays
• Nearest neighbor conditional estimation for Harris recurrent Markov chains
• Uniform CLT for Markov chains and its invariance principle: A martingale approach

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