Théorèmes limites avec poids pour les martingales vectorielles à temps continu

DOI10.1051/PS:2007049MaRDI QIDQ5190293zbMATH OpenOpenAlexFDO

Authors F. Chaabane, Ahmed Kebaier

Publication date 15 March 2010

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603492, https://eudml.org/doc/104408

zbMATH Keywords

quadratic strong lawweighted central limit theoremsquasi-continuous vector martingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Martingales and classical analysis (60G46)

Abstract: We develop a general approach of the almost sure central limit theorem for the quasi-continuous vectorial martingales and we release a quadratic extension of this theorem while specifying speeds of convergence. As an application of this result we study the problem of estimate the variance of a process with stationary and idependent increments in statistics.

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Cites work

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Cited in

(8)

• Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth
• Limit theorems with weights for vector-valued martingales
• scientific article; zbMATH DE number 846106 (Why is no real title available?)
• Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method
• On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications
• Central limit theorem for weighted martingales with applications
• scientific article; zbMATH DE number 3911391 (Why is no real title available?)
• scientific article; zbMATH DE number 903715 (Why is no real title available?)

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