Deviation probability bound for martingales with applications to statistical estimation

Let Mt be a vector martingale and <M>t denote its predictable quadratic variation. In this paper we present a bound for the probability that with a fixed vector z and discuss some of its applications to statistical estimation in autoregressive and linear diffusion models. Our approach is non-asymptotic and does not require any ergodic assumption on the underlying model.

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Year of publication:	2000
Authors:	Liptser, R. ; Spokoiny, V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 46.2000, 4, p. 347-357
Publisher:	Elsevier
Keywords:	Martingale Deviation probability Maximum likelihood estimate Autoregression Linear diffusion

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005319916