Weak convergence of some classes of martingales with jumps

研究成果: Article査読

16 被引用数 (Scopus)

抄録

This paper deals with weak convergence of stochastic integrals with respect to multivariate point processes. The results are given in terms of an entropy condition for partitioning of the index set of the integrands, which is a sort of L2-bracketing. We also consider lα-valued martingale difference arrays, and present natural generalizations of Jain-Marcus's and Ossian-der's central limit theorems. As an application, the asymptotic behavior of log-likelihood ratio random fields in general statistical experiments with abstract parameters is derived.

本文言語English
ページ(範囲)685-712
ページ数28
ジャーナルAnnals of Probability
28
2
DOI
出版ステータスPublished - 2000 4
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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