On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
- Autores: Konev V.1
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Afiliações:
- National Research Tomsk State University
- Edição: Volume 94, Nº 3 (2016)
- Páginas: 676-680
- Seção: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224581
- DOI: https://doi.org/10.1134/S1064562416060235
- ID: 224581
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Resumo
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.
Sobre autores
V. Konev
National Research Tomsk State University
Autor responsável pela correspondência
Email: vvkonev@mail.tsu.ru
Rússia, Tomsk, 634050