Laws of large numbers for semimartingales with applications to stochastic regression (Q1113519)
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scientific article; zbMATH DE number 4082621
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Laws of large numbers for semimartingales with applications to stochastic regression |
scientific article; zbMATH DE number 4082621 |
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Laws of large numbers for semimartingales with applications to stochastic regression (English)
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1989
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Strong laws of large numbers for matrix-normalized vector-valued local martingales are established. The results are derived from strong laws for positive local submartingales and purely discontinuous local martingales and a Borel-Cantelli-type lemma for local martingales of finite variation. The multivariate strong laws are applied to study strong consistency of estimates in stochastic linear regression models.
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Strong laws of large numbers
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local martingales
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local submartingales
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Borel-Cantelli-type lemma for local martingales of finite variation
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strong consistency of estimates
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linear regression models
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