BARTLETT TYPE IDENTITIES FOR MARTINGALES

• 成果类型: Article
• 署名作者: MYKLAND, PA
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176325355
• 发表日期: 1994
• 页码: 21-38
• 关键词: Cumulants

摘要

Bartlett type identities are shown to exist for martingales. As applications, we give a cumulant-based proof of the martingale central limit theorem, and we give an algorithm for calculating approximate cumulants of the least squares estimator in the AR(1) process.