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

DOI10.1214/009117906000000755MaRDI QIDQ2370101zbMATHOpenAlexFDO

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.

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Cites work

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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)

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

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