A CLT for multi-dimensional martingale differences in a lexicographic order

Guy Cohen

Stochastic Processes and their Applications, 2016, vol. 126, issue 5, 1503-1510

Abstract: We prove a central limit theorem for a square-integrable ergodic stationary multi-dimensional random field of martingale differences with respect to a lexicographic order.

Keywords: Central limit theorem; Random fields; Multi-dimensional martingale differences; Lexicographic order (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:5:p:1503-1510

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DOI: 10.1016/j.spa.2015.11.011

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