On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications

B. Bercu

Stochastic Processes and their Applications, 2004, vol. 111, issue 1, 157-173

Abstract: We establish new almost sure asymptotic properties for martingale transforms. It enables us to deduce the convergence of moments in the almost sure central limit theorem for martingales. Several statistical applications on the asymptotic behavior of stochastic regression models are also provided.

Keywords: Martingale; transforms; Moments; Stochastic; regression (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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