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Central limit theorems for martingales-II: convergence in the weak dual topology

Authors :
Remillard, Bruno N.
Vaillancourt, Jean
Publication Year :
2023

Abstract

A convergence theorem for martingales with c\`adl\`ag trajectories (right continuous with left limits everywhere) is obtained in the sense of the weak dual topology on Hilbert space, under conditions that are much weaker than those required for any of the usual Skorohod topologies. Examples are provided to show that these conditions are also very easy to check and yield useful asymptotic results, especially when the limit is a mixture of stochastic processes with discontinuities.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2304.04887
Document Type :
Working Paper