A moment approach for the almost sure central limit theorem for martingales

Abstract : We prove the almost sure central limit theorem for martingales via an original approach which uses the Carleman moment theorem together with the convergence of moments for powers of martingales. Several statistical applications on autoregressive and branching processes are also provided.
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Submitted on : Wednesday, October 26, 2005 - 8:57:29 PM
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Bernard Bercu, Jean-Claude Fort. A moment approach for the almost sure central limit theorem for martingales. Studia Scientiarum Mathematicarum Hungarica, Akadémiai Kiadó, 2008, 45, pp.139-159. ⟨hal-00012679⟩

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