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#martingale_difference_sequence

Martingale difference sequence

In probability theory, a martingale difference sequence (MDS) is related to the concept of the martingale. A stochastic series X is an MDS if its expectation with respect to the past is zero. Formally, consider an adapted sequence on a probability space . is an MDS if it satisfies the following two conditions:, and,

Wed 13th

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Martingale difference sequence Martingale (probability theory) Doob's martingale convergence theorems Ordinary least squares MDS Doob martingale Hilbert space Azuma's inequality Hardy space List of statistics articles
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