Martingale difference sequence
id:
martingale-difference-sequence-278-10804614
title:
Martingale difference sequence
text:
In probability theory, a martingale difference sequence (MDS) is related to the concept of the martingale. A stochastic series X is an MDS if its expectation with respect to the past is zero. Formally, consider an adapted sequence { X t , F t } − ∞ ∞ on a probability space . X t is an MDS if it satisfies the following two conditions: for all t . By construction, this implies that if Y t is a martingale, then X t = Y t − Y t − 1 will be an MDS—hence the name. The MDS is an extremely useful constr
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https://en.wikipedia.org/wiki/Martingale_difference_sequence
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date modified:
2024-03-13T03:36:07Z
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{"identifier":"Q3707378","url":"https://www.wikidata.org/entity/Q3707378"}
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