A class of martingales with non-symmetric limit distributions |
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| Authors: | Mayer Alvo Paul Cabilio Paul D Feigin |
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| Institution: | (1) Dept. of Mathematics, University of Ottawa, Ottawa, Ontario, Canada;(2) Dept. of Mathematics, Acadia University, Wolfville, Nova Scotia, Canada;(3) Faculty of Industrial Engineering and Management, Technion - Israel Inst. of Technology, Haifa, Israel |
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| Abstract: | Summary A class of non-pathological martingales is exhibited to which current martingale central limit theory does not apply. The problem consists in the convergence of the normalized sums of squares being only in distribution. The class is that of degenerate U-statistics.This work was done while the first two authors were on Sabbatical leave at the Technion.Work supported in part by National Research Council of Canada, Grant No. A-9068Work supported in part by National Research Council of Canada, Grant No. A-9076 |
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