On the paper ``Weak convergence of some classes of martingales with jumps

DOI10.1214/009117906000000755MaRDI QIDQ2370101zbMATH OpenOpenAlexFDO

Authors Yoichi Nishiyama

Publication date 22 June 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0707.4536

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: This note extends some results of Nishiyama [Ann. Probab. 28 (2000) 685--712]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is given. By using it, a tightness criterion is obtained; if the so-called quadratic modulus is bounded in probability and if a certain entropy condition on the parameter space is satisfied, then the tightness follows. Our approach is based on the entropy techniques developed in the modern theory of empirical processes.

Review text

This note extends some results of \textit{Y. Nishiyama} [Ann. Probab. 28, 685--712 (2000; Zbl 1128.60305)]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is given. By using it, a tightness criterion is obtained; if the so-called quadratic modulus is bounded in probability and if a certain entropy condition on the parameter space is satisfied, then the tightness follows. Our approach is based on the entropy techniques developed in the modern theory of empirical processes.

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Cites work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
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• Some central limit theorems for \(\ell^\infty\)-valued semimartingales and their applications
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence of some classes of martingales with jumps.

Cited in

(7)

• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Weak convergence of some classes of martingales with jumps.
• scientific article; zbMATH DE number 3971894 (Why is no real title available?)
• scientific article; zbMATH DE number 3996732 (Why is no real title available?)
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Tightness and weak convergence for jump processes
• Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments

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