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Weak Convergence of Non-stationary Multivariate Marked Processes with Applications to Martingale Testing by J. Carlos Escanciano is a Mathematics article available to read on EtoBox.

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This paper establishes the weak convergence of a class of marked empirical processes of possibly nonstationary and/or non-ergodic multivariate time series sequences under martingale conditions. The assumptions involved are similar to those in Brown's martingale central limit theorem. In particular, no mixing conditions are imposed. As an application, we propose a test statistic for the martingale hypothesis and we derive its asymptotic null distribution. Finally, a Monte Carlo study shows that the asymptotic results provide good approximations for small and moderate sample sizes. An application to the S&P 500 is also considered.

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Author

J. Carlos Escanciano

Publisher

Elsevier Science; Elsevier ; Elsevier Inc.; Elsevier BV (ISSN 0047-259X)

Published

2007

Language

EN

Field

Mathematics (Physical Sciences)