On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference
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...
| Published in: | Doklady mathematics Vol. 94, № 3. P. 676-680 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000583015 Перейти в каталог НБ ТГУ |