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Generalized Wald equations in discrete time

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  • Brown, B. M.

Abstract

Let S = {Sn, n [greater-or-equal, slanted] 1} be a martingale. Expectations of mth order quantities associated with S are related by two forms of Wald-type identity, called Generalized Wald equations. The previously known sufficient conditions for the validity of Wald equations are shown to be of a set of three equivalent conditions, each of which is necessary as well as sufficient for the validity of both types of Generalized Wald Equation.

Suggested Citation

  • Brown, B. M., 1974. "Generalized Wald equations in discrete time," Stochastic Processes and their Applications, Elsevier, vol. 2(4), pages 349-357, October.
    • Handle: RePEc:eee:spapps:v:2:y:1974:i:4:p:349-357
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    Cited by:

    1. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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