On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference

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On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference	251 KB	Adobe Acrobat PDF	Read	Download
DOI Доступ к ресурсу на сайте издателя			10.1134/S1064562416060235

Title: On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
Creator: Konev, Victor V.
Date: 2016
DOI: 10.1134/S1064562416060235
Description: 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.

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collection(s): Факультет прикладной математики и кибернетики (до 01.09.2017 г.)
Identifier: смотреть в электронном каталоге НБ ТГУ
Type: статьи в журналах
Source: Doklady mathematics. 2016. Vol. 94, № 3. P. 676-680
Language: eng

Created: 28-09-2017

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Факультет прикладной математики и кибернетики (до 01.09.2017 г.) On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference