Chapter

Mixingales

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0016

Series: Advanced Texts in Econometrics

 Mixingales

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Mixingales are an asymptotic generalization of the martingale concept. This chapter defines them and reviews their properties, discussing the telescoping sum representation, and the important mixingale inequalities. The most important result for subsequent applications is the uniform square integrability of mixingale sums.

Keywords: mixingale; mixingale inequalities; telescoping sum; uniform square integrability

Chapter.  8265 words. 

Subjects: Econometrics and Mathematical Economics

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