Asymptotic Expansions for Martingales
Per Aslak Mykland
Source: Ann. Probab. Volume 21, Number 2
(1993), 800-818.
Abstract
The paper contains a "smoothed" one-step triangular array asymptotic expansion for discrete-time martingales. An important element of the proof is a second-order description of Skorokhod embedding of discrete martingales in continuous ones. An application to Markov processes is given, along with a bootstrapping example.
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Keywords: Edgeworth expansions; bootstrapping; Markov processes; martingales; Skorokhod embedding; time series
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aop/1176989268
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aop/1176989268
Mathematical Reviews number (MathSciNet): MR1217566
Zentralblatt MATH identifier: 0776.60047
