IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v40y1992i2p181-197.html
   My bibliography  Save this article

Another view on martingale central limit theorems

Author

Listed:
  • Gaenssler, Peter
  • Joos, Konrad

Abstract

Based on the martingale version of the Skorokhod embedding Heyde and Brown (1970) established a bound on the rate of convergence in the central limit theorem (CLT) for discrete time martingales having finite moments of order 2+2[delta] with 0 0 was proved in Haeusler (1988). This paper presents a rather quick access based solely on truncation, optional stopping, and prolongation techniques for martingale difference arrays to obtain other upper bounds for sup ([phi]being the standard normal d.f.) yielding weak sufficient conditions for the asymptotic normality of . It is shown that our approach also yields two types of martingale central limit theorems with random norming.

Suggested Citation

  • Gaenssler, Peter & Joos, Konrad, 1992. "Another view on martingale central limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 40(2), pages 181-197, March.
    • Handle: RePEc:eee:spapps:v:40:y:1992:i:2:p:181-197
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(92)90011-E
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:40:y:1992:i:2:p:181-197. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.