Arbeitspapier
A note on limit theorems for multivariate martingales
Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To illustrate the usefulness of the results, we consider estimation for a multi-dimensional Gaussian diffusion, where results on consistency and asymptotic normality of the maximum likelihood estimator are obtained in cases that were not covered by previously published limit theorems. The results are also applied to martingales of a different nature, which are typical of the problems occuring in connection with statistical inference for stochastic delay equations.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1998,45
- Klassifikation
-
Wirtschaft
- Thema
-
stochastic delay equations
Central limit theorem
multivariate Gaussian diffusions
likelihood inference
weak law of large numbers
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Küchler, Uwe
Sørensen, Michael M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1998
- Handle
- URN
-
urn:nbn:de:kobv:11-10056985
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Küchler, Uwe
- Sørensen, Michael M.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1998
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