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In order to discuss properties of P-statistics we first need to review briefly the basic results on martingales. The theory of martingales is rich and profound and reaches far beyond the basic results stated here. Interested reader is referred to one of many excellent texts available, like for instance Billingsley (1999), Chow and Teicher (1978) or Ethier and Kurtz (1986).

Keywords

Diagonal Entry Canonical Function Variance Formula Important Special Case Maximal Inequality 
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© Springer Science+Business Media, LLC 2008

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