The Lindeberg-Levy Theorem for Martingales

Cited In (only showing first 100 items - show all)

Asymptotic theory for multivariate GARCH processes.
A multivariate Markov chain stock model
On the functional central limit theorem for martingales
The asymptotic behaviour of maximum likelihood estimators for stationary point processes
First-order observation-driven integer-valued autoregressive processes
ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
An automatic portmanteau test for serial correlation
Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
On geometric ergodicity of nonlinear autoregressive models
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
Branching Markov processes and related asymptotics
Random central limit theorems for martingales
The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
Generalized spectral tests for the martingale difference hypothesis
Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes
Information ratio test for model misspecification on parametric structures in stochastic diffusion models
Coupled Markov chain model: Characterization of membrane channel currents with multiple conductance sublevels as partially coupled elementary pores
Comparison between criteria leading to the weak invariance principle
A central limit theorem for fields of martingale differences
Nonparametric tests for conditional symmetry in dynamic models
Central limit theorem for stationary linear processes
Parameter estimation for generalized random coefficient autoregressive processes
THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
Poisson QMLE of count time series models
Estimation of parameters for Hilbert space-valued partially observable stochastic processes
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
Categorical time series models for contingency tables
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
A uniform CLT for uniformly bounded families of martingale differences
STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING-AVERAGE MODEL
A likelihood ratio test for stationarity of rating transitions
Product autoregressive models for non-negative variables
An empirical central limit theorem in L\(^1\) for stationary sequences
Modeling statistical dependence of Markov chains via copula models
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
Approximating martingales and the central limit theorem for strictly stationary processes
Asymptotically best response-adaptive randomization procedures
Limit theorems for von Mises statistics of a measure preserving transformation
The split-BREAK model
Minimum density power divergence estimator for GARCH models
First-order random coefficient integer-valued autoregressive processes
The weak convergence of the likelihood ratio random fields for Markov observations
ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
Bootstrapping Markov chains: Countable case
Fitting birth-and-death queueing models to data
Piecewise deterministic Markov processes applied to fatigue crack growth modelling
Inconsistency of the MLE and inference based on weighted LS for LARCH models
Quantile regression estimator for GARCH models
State estimation for partially observed Markov chains
On the central limit theorem for sums of dependent random variables
Identification and estimation of non-Gaussian structural vector autoregressions
A Gaussian Mixture Autoregressive Model for Univariate Time Series
Gaussian mixture vector autoregression
GARCH models without positivity constraints: exponential or log GARCH?
Orthomartingale-coboundary decomposition for stationary random fields
Martingale approximations for continuous-time and discrete-time stationary Markov processes
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
On the exactness of the Wu-Woodroofe approximation
New mixed time series models having approximated beta marginals
Biharmonic functions on groups and limit theorems for quasimorphisms along random walks
THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes
Empirical likelihood ratio tests for multivariate regression models
Estimation in nonlinear time series models
Specification tests of parametric dynamic conditional quantiles
Econometric duration analysis
Goodness-of-fit test for response adaptive clinical trials
A stochastic model for predator-prey systems: basic properties, stability and computer simulation
On the functional central limit theorem and the law of the iterated logarithm for Markov processes
Estimation of autoregressive models with epsilon-skew-normal innovations
The Doubly Adaptive LASSO for Vector Autoregressive Models
On the central limit theorem for stationary processes
Asymptotic normality of maximum likelihood estimators from multiparameter response-driven designs
Asymptotic distribution of the log-likelihood function for stochastic processes
Prediction and classification of non-stationary categorical time series
Efficient estimation of copula-based semiparametric Markov models
Minimum density power divergence estimator for Poisson autoregressive models
Martingale Convergence to Infinitely Divisible Laws with Finite Variances
A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
On central limit theorems for martingale triangular arrays
Estimation of unobserved counts from partially observed multinomial distributions
Large sample inference in retrial queues.
Asymptotic inference for continuous-time Markov chains
A test of correlation in the random coefficients of an autoregressive process
The focussed information criterion for generalised linear regression models for time series
On asymptotically optimal tests
Nonparametric estimation of functions in a model of competing risks from incomplete longitudinal data
Generalized threshold latent variable model
Large sample inference for a multivariate linear model with autocorrelated errors
Maximum likelihood estimation for score-driven models
Some examples and results in the theory of mixing and random-sum central limit theorems
Integer-valued asymmetric GARCH modeling
The central limit theorem for backwards martingales
Minimum distance estimators for random coefficient autoregressive models
The likelihood function of additive learning models: sufficient conditions for strict log-concavity and uniqueness of maximum
A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
A random functional central limit theorem for martingales
Recursive solution methods for dynamic linear rational expectations models

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