Email this article On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
- Authors: Konev V.V.1
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Affiliations:
- National Research Tomsk State University
- Issue: Vol 94, No 3 (2016)
- Pages: 676-680
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224581
- DOI: https://doi.org/10.1134/S1064562416060235
- ID: 224581
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Abstract
A transformation of a discrete-time martingale with conditionally Gaussian increments into a sequence of i.i.d. standard Gaussian random variables is proposed as based on a sequence of stopping times constructed using the quadratic variation. It is shown that sequential estimators for the parameters in AR(1) and generalized first-order autoregressive models have a nonasymptotic normal distribution.
About the authors
V. V. Konev
National Research Tomsk State University
Author for correspondence.
Email: vvkonev@mail.tsu.ru
Russian Federation, Tomsk, 634050
