Martingale Expansions and Second Order Inference
该文为渐近遍历的多元鞅开发了一种单步三角阵列Edgeworth展开，覆盖离散和连续时间，并探讨了其在似然推断（包括Cox回归）和平稳时间序列推断中的应用，对自助法有参考价值。
The paper develops a one-step triangular array Edgeworth expansion for multivariate martingales that are, essentially, asymptotically ergodic. Both discrete and continuous time are covered. The expansion is in a test function topology. We investigate when the expansion has the usual Edgeworth form, looking in particular at likelihood inference, including Cox regression, and at inference for stationary time series. The triangular array nature of the results make them useful for bootstrapping, and a result pointing in that direction is shown for Cox regression.