On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
- 作者: Konev V.1
-
隶属关系:
- National Research Tomsk State University
- 期: 卷 94, 编号 3 (2016)
- 页面: 676-680
- 栏目: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224581
- DOI: https://doi.org/10.1134/S1064562416060235
- ID: 224581
如何引用文章
详细
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.
作者简介
V. Konev
National Research Tomsk State University
编辑信件的主要联系方式.
Email: vvkonev@mail.tsu.ru
俄罗斯联邦, Tomsk, 634050