Local asymptotic normality of statistical models of discrete martingales
Articles
Vaidotas Kanišauskas
Vilnius University, Šiauliai Academy
Published 2023-11-20
https://doi.org/10.15388/LMD.2023.33592
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Keywords

discrete or purely discontinuous local martingale
local asymptotic normality
compensator
Fréchet differentiability

How to Cite

Kanišauskas, V. (2023) “Local asymptotic normality of statistical models of discrete martingales”, Lietuvos matematikos rinkinys, 64(B), pp. 30–40. doi:10.15388/LMD.2023.33592.

Abstract

We establish general conditions assuring the local asymptotic normality of statistical experiments of discrete or purely discontinuous local martingales obtained models of point processes of all types were found out. The general conditions include the Fréchet differentiability of parameters in probability in normed spaces with regard to a continuous compensator.

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