WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS

DOI10.1017/S0266466617000408zbMath1400.62335OpenAlexW2766773519MaRDI QIDQ4585032

Qiying Wang, Jiangyan Peng

Publication date: 6 September 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000408

zbMATH Keywords

martingalestochastic integralstime series econometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)

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