A Note on Limit Theorems for Multivariate Martingales

Uwe Küchler & Michael Sørensen
Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To illustrate the usefulness of the results, we consider estimation for a multi-dimensional Gaussian diffusion, where results on consistency and asymptotic normality of the maximum likelihood estimator are obtained in cases that were not covered by previously published limit theorems. The results are...
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