About the asymptotic behaviour of continuous vector-valued local martingales and application in multiple linear regression models |
| |
| Authors: | A.R. Darwich |
| |
| Affiliation: | Département de Mathématiques , Université d'Angers , 2 Boulevard Lavoisier, Angers cedex 01, 49045, France |
| |
| Abstract: | ![]()
We study the asymptotic behaviour of the process d M ¢ m 1 M , where M is an R n -continuous vector local martingale and d M ¢ m 1 is the inverse of its predictable quadratic variation (a matrix-valued process). We also give an application (strong consistency and rate of convergence) to multiple linear regression. |
| |
| Keywords: | Local Martingale Quadratic Variation Processes Linear Regression Law Of Large Numbers |
|
|
