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 |
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| 100 | 1 | |a Konev, Victor V. |9 97657 | |
| 245 | 1 | 0 | |a On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference |c V. V. Konev |
| 504 | |a Библиогр.: с. 680 | ||
| 520 | 3 | |a 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. | |
| 653 | |a мартингалы | ||
| 653 | |a гауссовские случайные величины | ||
| 653 | |a дискретное время | ||
| 653 | |a авторегрессионные модели первого порядка | ||
| 655 | 4 | |a статьи в журналах |9 879358 | |
| 773 | 0 | |t Doklady mathematics |d 2016 |g Vol. 94, № 3. P. 676-680 |x 1064-5624 | |
| 852 | 4 | |a RU-ToGU | |
| 856 | 7 | |u http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000583015 | |
| 856 | |y Перейти в каталог НБ ТГУ |u https://koha.lib.tsu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=425992 | ||
| 908 | |a статья | ||
| 999 | |c 425992 |d 425992 | ||