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On Martingale Central Limit Theory

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Dependence in Probability and Statistics

Part of the book series: Progress in Probability and Statistics ((PRPR,volume 11))

Summary

The present paper is expository in nature focussing on an effective way of proving ordinary and functional central limit theorems (CLT’s and FCLT’s) for martingales starting with a martingale version of Lindeberg’s proof of the classical CLT and going up to FCLT’s for continuous time local martingales known through the work of Rebolledo, Liptser and Shiryayev, and Helland.

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Author information

Authors and Affiliations

  1. Mathematical Institute, University of Munich, Theresienstrasse 39, D-8000, Munich 2, West Germany

    Peter Gaenssler & Erich Haeusler

Authors
  1. Peter Gaenssler
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  2. Erich Haeusler
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Editor information

Editors and Affiliations

  1. Institut für Mathematische Stochastik, Universität Freiburg, 7800, Freiburg i. Br., Federal Republic of Germany

    Ernst Eberlein

  2. Department of Mathematics, Boston University, 02215, Boston, MA, USA

    Murad S. Taqqu

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Gaenssler, P., Haeusler, E. (1986). On Martingale Central Limit Theory. In: Eberlein, E., Taqqu, M.S. (eds) Dependence in Probability and Statistics. Progress in Probability and Statistics, vol 11. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4615-8162-8_13

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  • DOI: https://doi.org/10.1007/978-1-4615-8162-8_13

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4615-8163-5

  • Online ISBN: 978-1-4615-8162-8

  • eBook Packages: Springer Book Archive

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