On the strong law of large numbers for multivariate martingales

DOI10.1016/0304-4149(87)90051-2zbMath0632.60040OpenAlexW2034874127MaRDI QIDQ1095492

Heinz Kaufmann

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90051-2

zbMATH Keywords

strong law of large numbersmartingalemultivariate linear regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Martingales with discrete parameter (60G42)

Related Items (8)

On the strong law of large numbers of multivariate martingales with random norming ⋮ Asymptotic results with generalized estimating equations for longitudinal data ⋮ Laws of large numbers for semimartingales with applications to stochastic regression ⋮ Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable ⋮ Asymptotically optimal estimating equation with strongly consistent solutions for longitudinal data ⋮ A generalization of the Kalman filter to models with infinite variance ⋮ Inference for the degree distributions of preferential attachment networks with zero-degree nodes ⋮ Sequential confidence regions for maximum likelihood estimates.

Cites Work

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• Strong consistency of least squares estimates in multiple regression II
• A matrix Kronecker lemma
• Generalization of an inequality of Kolmogorov
• A Martingale Inequality and the Law of Large Numbers
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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