A Note on Limit Theorems for Multivariate Martingales
A Note on Limit Theorems for Multivariate Martingales
Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models.To illustrate the usefulness of the results, we consider estimation for a multi-dimensional Gaussian di usion, where results on …