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...
| Опубликовано в: : | Doklady mathematics Vol. 94, № 3. P. 676-680 |
|---|---|
| Главный автор: | |
| Формат: | Статья в журнале |
| Язык: | English |
| Предметы: | |
| Online-ссылка: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000583015 Перейти в каталог НБ ТГУ |