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Convergence results for multivariate martingales

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  • Crimaldi, Irene
  • Pratelli, Luca

Abstract

We present a new version of the Central Limit Theorem for multivariate martingales.

Suggested Citation

  • Crimaldi, Irene & Pratelli, Luca, 2005. "Convergence results for multivariate martingales," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 571-577, April.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:4:p:571-577
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    References listed on IDEAS

    as
    1. Feigin, Paul D., 1985. "Stable convergence of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 19(1), pages 125-134, February.
    2. Hutton, James E. & Nelson, Paul I., 1986. "Quasi-likelihood estimation for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 245-257, July.
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    Cited by:

    1. Ta Cong Son & Le Van Dung, 2022. "Central Limit Theorems for Weighted Sums of Dependent Random Vectors in Hilbert Spaces via the Theory of the Regular Variation," Journal of Theoretical Probability, Springer, vol. 35(2), pages 988-1012, June.
    2. Georgia Papadogeorgou & Kosuke Imai & Jason Lyall & Fan Li, 2022. "Causal inference with spatio‐temporal data: Estimating the effects of airstrikes on insurgent violence in Iraq," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1969-1999, November.
    3. Friedrich Hubalek & Petra Posedel, 2008. "Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models," Papers 0807.3479, arXiv.org.
    4. Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
    5. Crimaldi, Irene & Louis, Pierre-Yves & Minelli, Ida G., 2023. "Statistical test for an urn model with random multidrawing and random addition," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 342-360.

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