A strong law of large numbers for vector Gaussian martingales and a statistical application in linear regression

DOI10.1016/0167-7152(87)90029-0zbMath0613.60040OpenAlexW2015595077MaRDI QIDQ1819463

Alain Le Breton, Marek Musiela

Publication date: 1987

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(87)90029-0

zbMATH Keywords

Doob-Meyer decompositionlinear regression modelGaussian martingalestrong consistency of an estimatorstrong law of large numbers for real martingales

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Strong limit theorems (60F15) Martingales with continuous parameter (60G44)

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Strong consistency of least squares estimates in linear regression models driven by semimartingales ⋮ About the asymptotic behaviour of multidimensional Gaussian martingales and estimates in normal linear regression

Cites Work

• Calcul stochastique et problèmes de martingales
• Strong consistency of least squares estimates in normal linear regression
• A strong law of large numbers for local martingales