The Maximal Variation of a Bounded Martingale and the Central Limit Theorem.

The appearance of the normal density remained unexplained in Mertens and Zamir's proof: it appeared there as the solution of a differential equation. Our proof however justifies this normal density as a consequence of a generalisation of the CLT discussed in the second part of this paper.

MoreLess

Year of publication:	1996
Authors:	De Meyer, B.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	MATHEMATICS \| ECONOMETRICS \| STATISTICS

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	7 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C10 - Econometric and Statistical Methods: General. General ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634056