On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications

DOI10.1239/JAP/1238592122zbMATH Open1175.60009arXiv0812.3528OpenAlexW1996870254MaRDI QIDQ3621153FDOQ3621153

Authors: Bernard Bercu, Peggy Cénac, Guy Fayolle 

Publication date: 14 April 2009

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

Abstract: We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of any even order converge in the almost sure cental limit theorem for martingales. A conjecture about almost sure upper bounds under wider hypotheses is formulated. The theoretical results are supported by examples borrowed from statistical applications, including linear autoregressive models and branching processes with immigration, for which new asymptotic properties are established on estimation and prediction errors.

Full work available at URL: https://arxiv.org/abs/0812.3528

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zbMATH Keywords

stochastic regressionmoment estimationconvergence of momentsalmost-sure central limit theoremvector martingale

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (8)

• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• On the almost sure central limit theorem for ARX processes in adaptive tracking
• Almost sure convergence of extreme order statistics
• Limit theorems with weights for vector-valued martingales
• On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications
• A moment approach for the almost sure central limit theorem for martingales
• On the almost sure central limit theorem for the elephant random walk
• Almost sure central limit theorems for m-dependent random variables

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