Bartlett Type Identities for Martingales -- from Wolfram Library Archive

Title

Bartlett Type Identities for Martingales

Author

P. Mykland

Journal / Anthology

The Annals of Statistics

Year:

1994

Volume:

Issue:

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

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