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June, 1995 Martingale Expansions and Second Order Inference
Per Aslak Mykland
Ann. Statist. 23(3): 707-731 (June, 1995). DOI: 10.1214/aos/1176324617

Abstract

The paper develops a one-step triangular array Edgeworth expansion for multivariate martingales that are, essentially, asymptotically ergodic. Both discrete and continuous time are covered. The expansion is in a test function topology. We investigate when the expansion has the usual Edgeworth form, looking in particular at likelihood inference, including Cox regression, and at inference for stationary time series. The triangular array nature of the results make them useful for bootstrapping, and a result pointing in that direction is shown for Cox regression.

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Per Aslak Mykland. "Martingale Expansions and Second Order Inference." Ann. Statist. 23 (3) 707 - 731, June, 1995. https://doi.org/10.1214/aos/1176324617

Information

Published: June, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0839.62083
MathSciNet: MR1345195
Digital Object Identifier: 10.1214/aos/1176324617

Subjects:
Primary: 60F99
Secondary: 60G42, 60G44, 60G55, 60J05, 62E20, 62F12, 62M09, 62M10

Rights: Copyright © 1995 Institute of Mathematical Statistics

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Vol.23 • No. 3 • June, 1995
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