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

DOI10.1214/009117906000000755zbMATH Open1130.60028arXiv0707.4536OpenAlexW2063293805MaRDI QIDQ2370101FDOQ2370101

Authors: Yoichi Nishiyama 

Publication date: 22 June 2007

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

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.

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

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Mathematics Subject Classification ID

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

Cites Work

• Weak convergence and empirical processes. With applications to statistics
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• Weak convergence of some classes of martingales with jumps.
• Some central limit theorems for \(\ell^\infty\)-valued semimartingales and their applications
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Cited In (7)

• Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments
• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Tightness and weak convergence for jump processes
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Weak convergence of some classes of martingales with jumps.
• Title not available (Why is that?)
• Title not available (Why is that?)

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