A multivariate central limit theorem for continuous local martingales

A theorem on the weak convergence of a properly normalized multivariate continuous local martingale is proved. The time-change theorem used for this purpose allows for short and transparent arguments.

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Year of publication:	2000
Authors:	van Zanten, Harry
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 50.2000, 3, p. 229-235
Publisher:	Elsevier
Keywords:	Multivariate central limit theorem Continuous martingales Weak convergence Time-change device Nested filtrations Stable convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138105