Martingale Central Limit Theorems
From MaRDI portal
Publication:5623014
DOI10.1214/aoms/1177693494zbMath0218.60048WikidataQ100649528 ScholiaQ100649528MaRDI QIDQ5623014
Publication date: 1971
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177693494
60G42: Martingales with discrete parameter
60F05: Central limit and other weak theorems
60G44: Martingales with continuous parameter
Related Items
Maximum likelihood estimation of the dynamic shock-error model, Probabilities of large deviations for martingales, Central limit theorem for integrated square error of multivariate nonparametric density estimators, Weak convergence of martingales with random indices to infinitely divisible laws, On constrained maximum likelihood estimation with non-i.i.d. observations, Functional limit theorems for random quadratic forms, Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain, An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables, Nearest neighbor smoothing in linear regression, Efficient nonparametric testing by functional estimation, Lingering random walks in random environment on a strip, Weak convergence of non-stationary multivariate marked processes with applications to martingale testing, Uniform in bandwidth consistency of conditional \(U\)-statistics, The convergence of moments in the central limit theorem for stationary phi-mixing processes, Invariance principles for stochastic area and related stochastic integrals, Model specification testing of time series regressions, Invariance principle for martingales on the plane, ARMAX model specification testing, with an application to unemployment in the Netherlands, Bootstrapping general first order autoregression, On the invariance principle for U-statistics, A version of the central limit theorem for martingales, Asymptotics of distributions of martingales with a continuous parameter, A invariance principle for progressively truncated likelihood ratio statistics, A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times, On the principle of conditioning and convergence to mixtures of distributions for sums of dependent random variables, On the limiting behavior of the Bahadur-Kiefer statistic for partial sums and renewal processes when the fourth moment does not exist, Another view on martingale central limit theorems, A nonparametric measure of independence under a hypothesis of independent components, Recursive estimation of intensity function of a Poisson random field, The estimation of a nonlinear moving average model, Adaptive estimates for autoregressive processes, Estimation of a time series model from unequally spaced data, The estimation of a multivariate linear relation, Functional limit theorems for U-statistics in the degenerate case, Invariance principle for dependent summands, Consistent bandwidth selection for kernel binary regression, Alternative forms of fractional Brownian motion, Weak invariance principles for weighted \(U\)-statistics, Functional central limit theorem for random multilinear forms, Estimation of partially nonstationary vector autoregressive models with seasonal behavior, Asymptotic normality of sample autocovariances with an application in frequency estimation, Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice, The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence, Asymptotic inference for near unit roots in spatial autoregression, A martingale approach to homogenization of unbounded random flows, A note on functional CLT for truncated sums., On consistent testing for serial correlation of unknown form in vector time series models., Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments, On bootstrapping \(L_2\)-type statistics in density testing, Central limit theorem for integrated square error of kernel estimators of spherical density, Martingales in mark-recapture experiments with constant recruitment and survival, On the functional CLT for partial sums of truncated bounded from below random variables, A maximal inequality for nonnegative submartingales, A global stopping rule for recursive density estimators, On an autoregressive model with time-dependent coefficients, Determination of cointegrating rank in fractional systems., External bootstrap tests for parameter stability., On some random walks on \(\mathbb{Z}\) in random medium, Gauss-Newton estimation of parameters for a spatial autoregression model, Bartlett-type formulas for complex multivariate time series of mixed spectra, Weighted estimation and tracking for Bienaymé Galton Watson processes with adaptive control, On functional limit theorems for multivariate linear processes with applications to sequential estimation, Laws of the iterated logarithm for the local U-statistic process, Generalized functional linear models, Exact convergence rates in the central limit theorem for a class of martingales, Least squares estimation for critical random coefficient first-order autoregressive processes, Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models, Weak convergence and relative compactness of martingale processes with applications to some nonparametric statistics, Local empirical spectral measure of multivariate processes with long range dependence., Nonuniform bounds on the rate of convergence in the central limit theorem for martingales, Progressively censored tests for clinical experiments and life testing problems based on weighted empirical distributions, Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point, Limit laws for local counters in random binary search trees, ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS, ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES, The Pricing Problem, Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change, Unnamed Item, CENTRAL LIMIT THEOREMS FOR FINITE WALSH-FOURIER TRANSFORMS OF WEAKLY STATIONARY TIME SERIES, Unnamed Item, ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN-SQUARE PREDICTION ERROR, Analytical uses of Kalman filtering in econometrics — A survey, WALSH-FOURIER ANALYSIS OF DISCRETE-VALUED TIME SERIES, Recursive m–test for detection of change, Unnamed Item, Unnamed Item, Root-n-consistent estimation of partially linear time series models, Martingale random central limit theorems, Asymptotic normality of the maximum likelihood estimate in arbitrary stochastic processes, Limit theorems for random sums of dependent d-dimensional random vectors, Basic structure of the asymptotic theory in dynamic nonlinear econometric models, ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM, Martingale central limit theorems without uniform asymptotic negligibility, An invariance principle for strongly multiplicative sequences, On the functional central limit theorem for martingales, An invariance principle for the Robbins-Monro process in a Hilbert space, A random functional central limit theorem for martingales, Rank order tests for grouped data under progressive censoring, An invariance principle for linear combinations of order statistics, ESTIMATION AND BLIND DECONVOLUTION OF AUTOREGRESSIVE SYSTEMS WITH NONSTATIONARY BINARY INPUTS, A note on nonlinear regression for the autoregressive moving average with non-hd errors, Convergence of iterates of a transfer operator, application to dynamical systems and to Markov chains, On Asymptotic Minimaxity of Kernel-based Tests, LIMIT THEOREMS FOR SAMPLED DYNAMICAL SYSTEMS, ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS, ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS, EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION, Some invariance principles for rank statistics for testing independence, Invariance principles for dependent variables, An almost sure Invariance Principle for Hilbert Space Valued Martingales, ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH, An invariance principle for reversed martingales, An invariance principle for reversed martingales, Central limit theorems for time series regression, Martingale Convergence to Infinitely Divisible Laws with Finite Variances, Estimation in continuous state-space branching processes, Limit theorems for nonnegative-definite quadratic forms in certain dependent random variables, A test for volatility spillover with application to exchange rates, On the asymptotic distribution of the Moran \(I\) test stastistic with applications, The convergence of moments in the martingale central limit theorem, On the Lp convergence of sums of independent random variables, Martingale central limit theorems without uniform asymptotic negligibility: Corrigendum, On central limit theorems for martingale triangular arrays, Asymptotic distribution of the log-likelihood function for stochastic processes, Remarks on the functional central limit theorem for martingales, On the functional central limit theorem for martingales, II, On weak convergence to Brownian motion, Smoothed estimates for nonlinear time series models with irregular data
