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Martingale Limit Theory and Its Application
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The article was published on 2014-09-23 and is currently open access. It has received 3075 citations till now. The article focuses on the topics: Local martingale & Doob's martingale inequality.read more
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Model checks of higher order time series
TL;DR: This paper proposes and studies nonparametric tests for the validity of higher order time-series models based on properly defined residual cusums and shows that these tests outperform others when the time series has a dimension reducing character and the dimension becomes large.
Journal ArticleDOI
The CLT for rotated ergodic sums and related processes
Guy Cohen,Jean-Pierre Conze +1 more
TL;DR: In this article, a simple proof based on the Fejer-Lebesgue theorem was given for the invariance principle for modified rotated sums of ergodic dynamical systems.
Journal ArticleDOI
Convergence properties of sequential Bayesian D-optimal designs
TL;DR: For sequential D-optimality under a general nonlinear location-scale model for binary experiments, posterior consistency, consistency of the design measure, and the asymptotic normality of posterior following the design are established.
Journal ArticleDOI
On the asymptotic normality of estimating the affine preferential attachment network models with random initial degrees
Fengnan Gao,Aad van der Vaart +1 more
TL;DR: In this paper, the affine parameter and power-law exponent in the preferential attachment model with random initial degrees were derived and a quasi-maximum likelihood estimator was proposed to overcome the dependence on the history of the initial degrees.
Book ChapterDOI
Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
Liangjun Su,Halbert White +1 more
TL;DR: In this paper, a nonparametric quantile regression method was proposed to test conditional independence using local polynomial quantile regressions with weakly dependent data, which can detect local alternatives to conditional independence that decay to zero at the parametric rate.