A strong law of large numbers for vector gaussian martingales and a statistical application in linear regression

A. Le Breton and M. Musiela

Statistics & Probability Letters, 1987, vol. 5, issue 1, 71-73

Abstract: For a d-dimensional gaussian martingae M with tensor increasingprocess we prove that +tMt converges in Rd with probability 1 as t --> [infinity] and the limit is zero a.s. iff tr +t tends to zero. We apply this result to study the strong consistency of estimates in a linear regression model.

Keywords: Strong; law; of; large; number; gaussian; martingales; linear; regressin; strong; consistency (search for similar items in EconPapers)
Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(87)90029-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:5:y:1987:i:1:p:71-73

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().