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Title

Bartlett Type Identities for Martingales
Author

P. Mykland
Journal / Anthology

The Annals of Statistics
Year: 1994
Volume: 22
Issue: 1
Page range: 21-38
Description

Bartlett type identities are shown to exist for martingales. As applications, we give a cumulant-based proof of the martingale central limit theorem, and we give an algorithm for calculating approximate cumulants of the least squares estimator in the AR(1) process.
Subject

*Mathematics > Probability and Statistics