Martingale expansions and second order inference

DOI10.1214/aos/1176324617zbMath0839.62083OpenAlexW1965186648MaRDI QIDQ1906181

Per Aslak Mykland

Publication date: 23 June 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324617

zbMATH Keywords

Cox regressionlikelihood inferencestationary time seriesbootstrappingMarkovdiscrete and continuous timemultivariate martingalesasymptotically ergodicone-step triangular array Edgeworth expansiontest function topology

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with continuous parameter (60G44) Limit theorems in probability theory (60F99)

Related Items (11)

Partial mixing and Edgeworth expansion ⋮ Embedding and asymptotic expansions for martingales ⋮ Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ Cumulants and Bartlett Identities in Cox Regression ⋮ Edgeworth expansions for volatility models ⋮ Asymptotics and the theory of inference ⋮ Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property ⋮ Malliavin calculus and martingale expansion ⋮ Edgeworth expansions for realized volatility and related estimators ⋮ Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes ⋮ On the bootstrap for Moran's \(I\) test for spatial dependence

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