A martingale is a model in which the expectation for the next value is equal to the presently observed value, even given knowledge of prior values, ie

$E(X_{n+1} |X_1, X_2, ..,X_n)=X_n$

What tests for testing if a time series is a martingale are available? I am particularly interested in non-parametric tests. Is there any relation with conditional moments literature?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.