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.

...More
Included in

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

Citation URI
https://data.isiscb.org/isis/citation/CBB001021425/

Similar Citations

Article Meyer, Paul-André; (2009)
Stochastic Processes from 1950 to the Present (/isis/citation/CBB001021423/)

Article Bru, Bernard; Bru, Marie France; Chung, Kai Lai; (2009)
Borel and the St. Petersburg Martingale (/isis/citation/CBB001021417/)

Article Mazliak, Laurent; (2009)
How Paul Lévy Saw Jean Ville and Martingales (/isis/citation/CBB001021419/)

Article Mazliak, Laurent; Shafer, Glenn; (2009)
Introduction (/isis/citation/CBB001021415/)

Article Aalen, Odd; Andersen, Per Kragh; Borgan, Ørnulf; Gill, Richard; Keiding, Niels; (2009)
History of Applications of Martingales in Survival Analysis (/isis/citation/CBB001021426/)

Article Watanabe, Shinzo; (2009)
Japanese Contributions to Martingale Theory (/isis/citation/CBB001021424/)

Article Bienvenu, Laurent; Shafer, Glenn; Shen, Alexander; (2009)
On the History of Martingales in the Study of Randomness (/isis/citation/CBB001021421/)

Article Regazzini, Eugenio; Spizzichino, Fabio; (2011)
De Finetti's Encounter with Martingales (/isis/citation/CBB001024469/)

Book Laurent Mazliak; Glenn Shafer; (2022)
The Splendors and Miseries of Martingales: Their History from the Casino to Mathematics (/isis/citation/CBB195334126/)

Article Xu, Chuansheng; Qu, Anjing; (2006)
Pao-Lu Hsu: A Pioneer of Chinese Probability Theory and Mathematical Stastics (/isis/citation/CBB001020749/)

Book Nahin, Paul J.; (2000)
Duelling Idiots and Other Probability Puzzlers (/isis/citation/CBB000110246/)

Article Agterberg, Frederik P.; (2004)
Georges Matheron: Founder of Spatial Statistics (/isis/citation/CBB000502328/)

Article Triclot, Mathieu; (2007)
Information et Entropie: Un double jeu avec les probabilités (/isis/citation/CBB001021393/)

Article Zabell, S. L.; (2000)
The Rise of Modern Probability Theory (/isis/citation/CBB000110102/)

Article Robert, Christian; Casella, George; (2011)
A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data (/isis/citation/CBB001035736/)

Article John Robinson; Alan H. Welsh; (2017)
Corrigendum to: Peter Gavin Hall 1951–2016 (/isis/citation/CBB180021568/)

Article Courtebras, Bernard; (2006)
Probabilités et Statistiques dans l'enseignement secondaire de l'Occupation à la Libération (/isis/citation/CBB001021382/)

Book Odifreddi, Piergiorgio; (2004)
Mathematical Century: The 30 Greatest Problems of the Last 100 Years (/isis/citation/CBB000410635/)

Article Eberhardt, Frederick; (2011)
Reliability via Synthetic a priori: Reichenbach's Doctoral Thesis on Probability (/isis/citation/CBB001211469/)

Authors & Contributors
Shafer, Glenn
Mazliak, Laurent
Alan H. Welsh
Zabell, Sandy L.
Xu, Chuansheng
Watanabe, Shinzo
Concepts
Mathematics
Probability and statistics
Martingales (mathematics)
Risk
Stochastic or random processes
Bayes theorem
Time Periods
20th century
21st century
20th century, late
Places
France
Japan
China
Australia
Institutions
Centre National de la Recherche Scientifique (France)
Comments

Be the first to comment!

{{ comment.created_by.username }} on {{ comment.created_on | date:'medium' }}

Log in or register to comment