Embedding and asymptotic expansions for martingales

DOI10.1007/BF01246335zbMath0843.60049OpenAlexW1980441468MaRDI QIDQ1902865

Per Aslak Mykland

Publication date: 13 August 1996

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01246335

zbMATH Keywords

conditional cumulantsasymptotic expansions for martingalesembedding general martingales in continuous ones

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Limit theorems in probability theory (60F99)

Related Items (4)

Cumulants and Bartlett Identities in Cox Regression ⋮ ANOVA for diffusions and Itō processes ⋮ Edgeworth expansions for realized volatility and related estimators ⋮ The Estimation of Leverage Effect With High-Frequency Data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic expansions for martingales
• Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach
• Interpolation of martingales
• Bartlett type identities for martingales
• Martingale expansions and second order inference
• An embedding of compensated compound Poisson processes with applications to local times
• The calculation of cumulants via conditioning
• Cumulants and Bartlett Identities in Cox Regression
• CUMULANTS AND PARTITION LATTICES1
• On the Decomposition of Continuous Submartingales
• The Existence of Certain Stopping Times on Brownian Motion
• On a Theorem of Skorohod
• A uniform rate of convergence for the maximum absolute value of partial sums in probability
• ON CONTINUOUS MARTINGALES
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• On Embedding Right Continuous Martingales in Brownian Motion
• APPROXIMATE CONFIDENCE INTERVALS
• APPROXIMATE CONFIDENCE INTERVALS

This page was built for publication: Embedding and asymptotic expansions for martingales