Article ID: CBB001021425

History of Martingales in Sequential Analysis and Time Series (2009)

unapi

Lai, Tze Leung (Author)


Journal Electronique d'Histoire des Probabilités et de la Statistique
Volume: 5, no. 1
Issue: 1


Publication Date: 2009
Edition Details: http://www.jehps.net/juin2009/Lai.pdf (Accessed on November 30, 2010). Part of a special issue, “The Splendors and Miseries of Martingales.”
Language: English

Thispaperreviewsthehistoryofmartingalesinsequentialanaly-sis,beginningwithWald'sground-breakingpaperin1945thatlaidthefoundationsforthesubject,andendinginthedecade1975--1985whentheusefulnessofmartingaletheorywasalsorecognizedintimeseriesanalysis.Theimportantrolesplayedbymartingaleinequalities,con-vergencetheory,stronglaws,functionalcentrallimittheorems,lawsoftheiteratedlogarithm,andtheoptionalstoppingtheoreminde-velopmentsofthetheoryofsequentialanalysisandtimeseriesfrom1945to1985arealsodiscussed.

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Article Mazliak, Laurent; Shafer, Glenn (2009) Introduction. Journal Electronique d'Histoire des Probabilités et de la Statistique. unapi

Citation URI
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Authors & Contributors
Shafer, Glenn
Mazliak, Laurent
Alan H. Welsh
Robinson, John
Watanabe, Shinzo
Spizzichino, Fabio
Journals
Journal Electronique d'Histoire des Probabilités et de la Statistique
Historical Records of Australian Science
Synthese
Science in Context
Publishers
Springer Nature
Springer-Verlag
Princeton University Press
F. Steiner
Birkhäuser
Concepts
Mathematics
Probability and statistics
Martingales (mathematics)
Risk
Stochastic or random processes
Fermat's problem
People
Hall, Peter G.
Ville, Jean-André
de Finetti, Bruno
Markov, Andrei Andreevich
Fréchet, Maurice René
Weyl, Hermann
Time Periods
20th century
21st century
20th century, late
19th century
18th century
17th century
Places
France
Australia
Russia
Japan
Institutions
Centre National de la Recherche Scientifique (France)
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