The Lindeberg-lévy Theorem for Martingales1

@inproceedings{BILLINGSLEY2010TheLT,
  title={The Lindeberg-lévy Theorem for Martingales1},
  author={PATRICK BILLINGSLEY},
  year={2010}
}
  • PATRICK BILLINGSLEY
  • Published 2010
The central limit theorem of Lindeberg [7] and Levy [3] states that if {mi, m2, ■ ■ • } is an independent, identically distributed sequence of random variables with finite second moments, then the distribution of ra-1'2^^! uk approaches the normal distribution with mean 0 and variance £{m?} , assuming that £{mi} =0, which entails no loss of generality. In the following result, the assumption of indepence is weakened. 
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Statistical inference for Markov processes, Institute of Mathematical Statistics-University of Chicago Statistical Research Monographs

  • Patrick Billingsley
  • 1961
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Stochastic processes, New York

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