Bartlett Type Identities for Martingales
Mykland, Per Aslak
Ann. Statist., Tome 22 (1994) no. 1, p. 21-38 / Harvested from Project Euclid
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Bartlett type identities are shown to exist for martingales. As applications, we give a cumulant-based proof of the martingale central limit theorem, and we give an algorithm for calculating approximate cumulants of the least squares estimator in the AR(1) process.
Publié le : 1994-03-14
Classification:  Bartlett identities,  central limit theorem,  Edgeworth expansions,  martingales,  time series,  60G42,  60G44,  62E99,  60F99,  62E20,  62M09,  62M10 
@article{1176325355,
     author = {Mykland, Per Aslak},
     title = {Bartlett Type Identities for Martingales},
     journal = {Ann. Statist.},
     volume = {22},
     number = {1},
     year = {1994},
     pages = { 21-38},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176325355}
}

Mykland, Per Aslak. Bartlett Type Identities for Martingales. Ann. Statist., Tome 22 (1994) no. 1, pp.  21-38. http://gdmltest.u-ga.fr/item/1176325355/