Limit theorems for a class of martingale arrays with applications in nonlinear cointegrating regression

Qiying Wang

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arXiv · 2608.10322

Limit theorems for a class of martingale arrays with applications in nonlinear cointegrating regression

Qiying Wang

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Abstract

This paper develops a new asymptotic theory for a broad class of martingales, establishing convergence to limiting distributions that involve a functional of stochastic integrals. The proposed limit theorem substantially extends existing martingale asymptotic theory by accommodating a wider class of dependence structures. As a primary application, the theory is applied to nonlinear regression models with nonstationary time series, yielding a rigorous framework for asymptotic inference on nonlinear least square estimators.

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Qiying Wang. 2026-08-10. Limit theorems for a class of martingale arrays with applications in nonlinear cointegrating regression. https://arxiv.org/abs/2608.10322

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