Moments of a Stopping Rule Related to the Central Limit Theorem

DOI10.1214/AOMS/1177697499zbMATH Open0212.21103OpenAlexW2083962986MaRDI QIDQ5613631FDOQ5613631

Authors: Bruce Brown 

Publication date: 1969

Published in: Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177697499

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited In (9)

• On the duality between the behaviour of sums of independent random variables and the sums of their squares
• On the L^p convergence of sums of independent random variables
• The convergence of moments in the martingale central limit theorem
• Moments of randomly stopped sums -- revisited
• The convergence of moments in the central limit theorem for stationary phi-mixing processes
• Moment bounds for stationary mixing sequences
• A note on second moment of a randomly stopped sum of independent variables
• Asymptotic expansions for central limit theorems for general linear stochastic processes. I: General theorems on rates of convergence
• Generalized Wald equations in discrete time

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