ASYMPTOTIC EXPANSIONS FOR MARTINGALES

• 成果类型: Article
• 署名作者: MYKLAND, PA
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176989268
• 发表日期: 1993
• 页码: 800-818
• 关键词: bootstrap confidence-intervals; central limit-theorems; markov-chains; CONVERGENCE; statistics; likelihood; models; time

摘要

The paper contains a ''smoothed'' one-step triangular array asymptotic expansion for discrete-time martingales. An important element of the proof is a second-order description of Skorokhod embedding of discrete martingales in continuous ones. An application to Markov processes is given, along with a bootstrapping example.