On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference |
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Authors: | V V Konev |
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Institution: | 1.National Research Tomsk State University,Tomsk,Russia |
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Abstract: | A transformation of a discrete-time martingale with conditionally Gaussian increments into a sequence of i.i.d. standard Gaussian random variables is proposed as based on a sequence of stopping times constructed using the quadratic variation. It is shown that sequential estimators for the parameters in AR(1) and generalized first-order autoregressive models have a nonasymptotic normal distribution. |
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