Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]
. Set Xt = u2t 1"t.
Xt is then a martingale di erence sequence. Furthermore,
EX2t = 2Eu4t (A.1)
EjXtj2+r = E u2t 1"t 2+r …
TX
t=1
u4t 1 "2t 2 p ! 0. (A.4)
Also,
T 1 2
TX
t=1
u4t 1 p ! 2Eu4t (A.5)
which gives the result
T 1=2
TX
t=1
u2t 1"t … )
p
Eu4tW (1) . (A.6)
20
(b) Let ut and "t be as in (a). Set Xt = u3t 1"t. Then fXtg is a martingale di erence
sequence …