Skip to main content

Questions tagged [martingales]

The tag has no usage guidance.

1 question with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
3 votes
0 answers

Applying the Martingale central limit theorem to the score process of an autoregressive model

This question is a natural continuation of the following question: How do I construct the score process of a Markov model and verify that it is a Martingale? In this problem, we set up as follows: ...
jmbejara's user avatar
  • 9,355