Martingales in Statistics

GPTKB entity

Statements (51)
Predicate Object
gptkbp:instanceOf statistical analysis
gptkbp:appliesTo gptkb:information_theory
gptkb:machine_learning
gptkb:signal_processing
gptkb:stochastic_process
gptkb:central_limit_theorem
gptkb:law_of_large_numbers
gptkb:reinforcement_learning
gptkb:empirical_process_theory
ergodic theory
mathematical finance
online learning
queueing theory
statistical inference
algorithmic fairness
option pricing theory
variance reduction
random walks
branching processes
statistical hypothesis testing
risk-neutral measure
gambling theory
stochastic integration
hedging strategies
concentration inequalities
change-point detection
martingale difference sequence
martingale representation theorem
martingale transform
stochastic dominance
stopping time problems
gptkbp:field gptkb:probability_theory
statistics
gptkbp:firstDescribed 1939
https://www.w3.org/2000/01/rdf-schema#label Martingales in Statistics
gptkbp:introduced gptkb:Jean_Ville
gptkbp:namedAfter gptkb:Paul_Lévy
gptkbp:property conditional expectation of future value equals present value given the past
gptkbp:relatedTo gptkb:Doob's_martingale_convergence_theorem
Brownian motion
random variables
stochastic processes
Markov processes
submartingale
supermartingale
optional stopping theorem
gptkbp:usedIn sequential analysis
financial mathematics
stochastic analysis
gptkbp:bfsParent gptkb:Christopher_Charles_Heyde
gptkbp:bfsLayer 7