Martingale Expansions and Second Order Inference
Mykland, Per Aslak
Ann. Statist., Tome 23 (1995) no. 6, p. 707-731 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
The paper develops a one-step triangular array Edgeworth expansion for multivariate martingales that are, essentially, asymptotically ergodic. Both discrete and continuous time are covered. The expansion is in a test function topology. We investigate when the expansion has the usual Edgeworth form, looking in particular at likelihood inference, including Cox regression, and at inference for stationary time series. The triangular array nature of the results make them useful for bootstrapping, and a result pointing in that direction is shown for Cox regression.
Publié le : 1995-06-14
Classification:  Bootstrapping,  Edgeworth expansions,  likelihood inference,  Markov processes,  martingales,  Cox regression,  time series,  60F99,  60G42,  60G44,  60G55,  60J05,  62E20,  62F12,  62M09,  62M10 
@article{1176324617,
     author = {Mykland, Per Aslak},
     title = {Martingale Expansions and Second Order Inference},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 707-731},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176324617}
}

Mykland, Per Aslak. Martingale Expansions and Second Order Inference. Ann. Statist., Tome 23 (1995) no. 6, pp.  707-731. http://gdmltest.u-ga.fr/item/1176324617/