Sequences of Random Variables That Form Martingales
The study of the dependence of random variables arises in various ways in probability theory. In the theory of stationary (wide sense) random sequences, the basic indicator of dependence is the covariance function, and the inferences made in this theory are determined by the properties of that function. In the theory of Markov chains (§12 of Chapter I; Chapter VIII) the basic dependence is supplied by the transition function, which completely determines the development of the random variables involved in Markov dependence.
KeywordsCentral Limit Theorem Independent Random Variable Absolute Continuity Local Martingale Dependent Random Variable
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