A CENTRAL-LIMIT-THEOREM FOR LOCAL MARTINGALES WITH APPLICATIONS TO THE ANALYSIS OF LONGITUDINAL DATA

Authors
MURPHY SA
Citation
Sa. Murphy, A CENTRAL-LIMIT-THEOREM FOR LOCAL MARTINGALES WITH APPLICATIONS TO THE ANALYSIS OF LONGITUDINAL DATA, Scandinavian journal of statistics, 22(3), 1995, pp. 279-294
Citations number
10
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Scandinavian journal of statistics → ACNP
ISSN journal
03036898
Volume
22
Issue
3
Year of publication
1995
Pages
279 - 294
Database
ISI
SICI code
0303-6898(1995)22:3<279:ACFLMW>2.0.ZU;2-J
Abstract
A functional central limit theorem for a local square integrable marti ngale with persistent discontinuities is given. By persistent disconti nuities, it is meant that the martingale has jumps which do not vanish asymptotically, This central limit theorem is motivated by problems i n the analysis of longitudinal and life history data.