Asymptotic Expansions for Martingales
Mykland, Per Aslak
Ann. Probab., Tome 21 (1993) no. 4, p. 800-818 / Harvested from Project Euclid
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The paper contains a "smoothed" one-step triangular array asymptotic expansion for discrete-time martingales. An important element of the proof is a second-order description of Skorokhod embedding of discrete martingales in continuous ones. An application to Markov processes is given, along with a bootstrapping example.
Publié le : 1993-04-14
Classification:  Edgeworth expansions,  bootstrapping,  Markov processes,  martingales,  Skorokhod embedding,  time series,  60F99,  60G42,  62E20,  60J05,  62M09,  62M10 
@article{1176989268,
     author = {Mykland, Per Aslak},
     title = {Asymptotic Expansions for Martingales},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 800-818},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989268}
}

Mykland, Per Aslak. Asymptotic Expansions for Martingales. Ann. Probab., Tome 21 (1993) no. 4, pp.  800-818. http://gdmltest.u-ga.fr/item/1176989268/