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Deviation probability bound for martingales with applications to statistical estimation

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  • Liptser, R.
  • Spokoiny, Vladimir G.

Abstract

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Suggested Citation

  • Liptser, R. & Spokoiny, Vladimir G., 1999. "Deviation probability bound for martingales with applications to statistical estimation," SFB 373 Discussion Papers 1999,85, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199985
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    Cited by:

    1. Danilo Mercurio & Costanza Torricelli, 2003. "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor & Francis Journals, vol. 35(15), pages 1689-1698.
    2. Wolfgang Haerdle & Helmut Herwartz & Volodia Spokoiny, 2000. "Time Inhomogeneous Multiple Volatility Modelling," Econometric Society World Congress 2000 Contributed Papers 1429, Econometric Society.

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