Questions tagged [martingale]

In probability theory, a martingale is a model of a fair game where knowledge of past events never helps predict the mean of the future winnings and only the current event matters.

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How to approach Basketball “Beat the Pro” drill with Markov Chain

Suppose, similarly to Gambler's ruin problem a Basketball player is doing "Beat the Pro" drill. That is, for every shot made, he scores one point, and for those missed, two points are to be deducted. ...
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Upper bound for randomly weighted sum of independent random variables

I have a sequence of independent random variables {$\epsilon_j$} with mean 0. I also have another sequence of Bernoulli random variables $\delta_1, \delta_2,\dots$ which are dependent on the previous ...
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Help to understand martingale example from Billingsley

I am studying Billingsley's section 35 about martingales and I have some difficulties understanding one of the examples. This is the example 35.4. Suppose we have a measurable space $(\Omega,\mathcal ...
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Write expectation of brownian motion conditional on filtration as an integral?

Let $W_t$ be a Brownian motion, so $W_t=z_t \sqrt{t}$ where $z_t \in N(0,1)$ and the pdf of $z$ is $f(z)=\frac{e^{-\frac{z^2}{2}}}{\sqrt{2\pi}}$. So $$E(W_t)=\int_{-\infty}^{\infty} W_t f(z) dz =\...
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270 views

Is a random walk necessarily a martingale?

I read in the following notes (http://www2.econ.iastate.edu/classes/econ672/Falk/_notes/lecture_4_martingales.pdf, p.2) that "a random walk is a martingale." Although it seems logical with the used ...
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79 views

log transform fixed PH in Cox model - how?

I have survival data to which I am fitting a Cox model with a continuous predictor. The cumulative martingale residual method (supremum test) of Lin, Wei and Ying suggested that both proportional ...
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40 views

Azuma's inequality Use

For binary vectors, x = (x1,x2,...,xn) and y=(y1,y2,...,yn), the Hammond distance between them is defined by d(x,y) = |x1 - y1| + |x2 - y2| + ... + |xn - yn|. Let A be a finite set of such vectors ...
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84 views

The best constant in a martingale moment inequality

Suppose we have a stochastic integral of the form $M_{t}=\int_{0}^{t}{H_{u}dW_{u}}$ and we know $M$ is a (true) martingale. It is known that for all $p\geq1$, $$ \mathbb{E}[|M_{t}|^{p}]^{1/p} \leq C(p)...
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55 views

Does the LHS of $E[X_n | \mathscr F_{n-1}]$ make sense even if $X_n$ is not integrable or adapted?

Let $(\Omega, \mathscr F, \{\mathscr F_n\}_{n \in \mathbb N}, \mathbb P)$ be a filtered probability space. Then $X_n$ is a $(\{\mathscr F_n\}_{n \in \mathbb N}, \mathbb P)-$martingale if: $X_n$'s are ...
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Does a martingale difference sequence (mds) imply strong mixing?

I read this from an econometrics paper (Dufour and Pelletier, 2014) " The typical hypothesis which is imposed in the time series literature is that the $u_t$'s are either independent and identically ...
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Is this weird pattern in my Martingale Residuals plot normal?

I'm running a cox model: coxtest<-coxph(Surv(time=Age_Sample,time2=Age_event,event=LungCancer)~Cigarettes_Lifetime,data=mydata) Then I do ...
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31 views

What is the Interpretation of the Alternative Hypothesis of the Conditional Predictive Ability Test [Giacomini and White (2006)]?

I am reading "Tests of Conditional Predictive Ability" by Giacomini and White (2006). The Null Hypothesis of equal Conditional Predictive Ability is formulated as $H_0: E[\Delta L_{m,t+\tau}|G_t]=0 \...
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29 views

Martingale Difference Sequence CLT

Could you provide me with the proof of the following: $$n^{-1/2} \cdot\sum_t a_{t-j}e_t$$ converges to normal distribution as $n$ goes infinity by martingale difference sequence CLT where $a_t = \...
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16 views

Estimating conditional expectation using SVR

I have an estimation problem: $X_t=f(S_t)=E(X_T\mid S_t)$ given the observations $(X^i_{T},S^i_{t})$ for all $i$'s. I used support vector regression (SVR) to run a regression of $X_T$ on $S_t$. Here $...
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1_event set notation

I do not understand the notation as given here: The source for the image is page 17 in this paper after equation 18. I understand the first subset notation but what does 1_\e_t mean?
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52 views

$M_t$ Local Martingale if and only if satisfies $\frac{\partial f}{\partial t}+\frac{1}{2}\frac{\partial^2 f}{\partial x^2}=0$ proof?

I was reading the wikipedia article on local martingales and it states the following theorem Let $W_t$ be standard Brownian motion and let $f:[0,\infty)\times\mathbb{R}\rightarrow\mathbb{R}$ such ...