Document Type
Lecture
Publication Date
10-11-2019
Abstract
In this talk, we prove a weak convergence result for a class of martingales. As an application, using the marked empirical processes, we develop a test of parametric specification for a nonlinear cointegrating regression model. This talk is based on a joint work with Qiying Wang and Ke Zhu.
Relational Format
presentation
Recommended Citation
Wu, Dongsheng, "Weak Convergence of Martingales and its Application to Nonlinear Cointegrating Model" (2019). Probability & Statistics Seminar. 31.
https://egrove.olemiss.edu/math_statistics/31
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