Martingale approximation
Author(s)
Bibliographic Information
Martingale approximation
VSP, 1997
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Note
Includes bibliographical references (p. 293-320) and index
Description and Table of Contents
Description
01/07 This title is now available from Walter de Gruyter. Please see www.degruyter.com for more information.
Limit theorems for semimartingales form the basis of the martingale approximation approach. The methods of martingale approximation addressed in this book pertain to estimates of the rate of convergence in the central limit theorem and in the invariance principle. Some applications of martingale approximation are illustrated by the analysis of U-statistics, rank statistics, statistics of exchangeable variables and stochastic exponential statistics. Simplified results of stochastic analysis are given for use in investigations of many applied problems, including mathematical statistics, financial mathematics, mathematical biology, industrial mathematics and engineering.
Table of Contents
Frontmatter -- Contents -- Preface -- 1. Basic notions -- 2. Semimartingales -- 3. Inequalities -- 4. Laws of large numbers -- 5. Central limit theorem -- 6. Convergence of semimartingales -- 7. Rate of weak convergence -- 8. Applications of martingales -- Appendix -- Bibliographic notes -- Bibliography -- Subject index
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