On the Wasserstein distance for a martingale central limit theorem
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2020.108892
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Grama, Ion & Haeusler, Erich, 2000. "Large deviations for martingales via Cramér's method," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 279-293, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sason, Igal, 2013. "Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1928-1936.
- Kanaya, Shin & Otsu, Taisuke, 2012.
"Large deviations of realized volatility,"
Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
- Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.
- Fan, Xiequan & Grama, Ion & Liu, Quansheng, 2012. "Hoeffding’s inequality for supermartingales," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3545-3559.
- Fan, Xiequan, 2017. "Self-normalized deviation inequalities with application to t-statistic," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 158-164.
- Xiequan Fan & Ion Grama & Quansheng Liu, 2020. "Cramér Moderate Deviation Expansion for Martingales with One-Sided Sakhanenko’s Condition and Its Applications," Journal of Theoretical Probability, Springer, vol. 33(2), pages 749-787, June.
- Dasgupta, Amites, 2024. "Azuma-Hoeffding bounds for a class of urn models," Statistics & Probability Letters, Elsevier, vol. 204(C).
- Fan, Xiequan & Grama, Ion & Liu, Quansheng & Shao, Qi-Man, 2020. "Self-normalized Cramér type moderate deviations for stationary sequences and applications," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5124-5148.
More about this item
Keywords
Martingales; Central limit theorem; Wasserstein metric;All these keywords.
Statistics
Access and download statisticsCorrections
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:stapro:v:167:y:2020:i:c:s0167715220301954. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.