Moment bounds for vector martingale quadratic forms without the convergence assumption
Moment bounds for vector martingale quadratic forms without the convergence assumption
Let be a martingale difference sequence satisfying the homogeneity condition
and assumption introduced in the preceding theorem, for some integer . Define , , , , and as in that theorem. Moment-bound conjecture. Almost surely,
and
The conjecture would extend the paper's convergence estimates to the full vector problem without assuming the technical condition that all eigenvalues of grow at the same rate. The statement is presented as unresolved in the source.
Sources & referencesView supporting material
Primary source
Bernard Bercu, Peggy Cénac and Guy Fayolle, “On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications”, arXiv:0812.3528 (2008).
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