Théorèmes limites avec poids pour les martingales vectorielles à temps continu

DOI10.1051/PS:2007049zbMATH Open1189.60090arXivmath/0603492OpenAlexW2163026346MaRDI QIDQ5190293FDOQ5190293

Authors: F. Chaabane, Ahmed Kebaier 

Publication date: 15 March 2010

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

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.

Full work available at URL: https://arxiv.org/abs/math/0603492

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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)

Cites Work

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• On Strong Versions of the Central Limit Theorem
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• 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
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• Integral analogues of almost sure limit theorems
• Invariance principles with logarithmic averaging for continuous local martingales
• On the Functional Convergence in Distribution of Sequences of Semimartingales to a Mixture of Brownian Motions

Cited In (8)

• Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth
• Limit theorems with weights for vector-valued martingales
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• Central limit theorem for weighted martingales with applications
• Title not available (Why is that?)

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