A strong law of large numbers for vector gaussian martingales and a statistical application in linear regression

For a d-dimensional gaussian martingae M with tensor increasingprocess we prove that <M>+tMt converges in Rd with probability 1 as t --> [infinity] and the limit is zero a.s. iff tr <M>+t tends to zero. We apply this result to study the strong consistency of estimates in a linear regression model.

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Year of publication:	1987
Authors:	Le Breton, A. ; Musiela, M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 5.1987, 1, p. 71-73
Publisher:	Elsevier
Keywords:	Strong law of large number gaussian martingales linear regressin strong consistency

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

Persistent link: https://www.econbiz.de/10005254290