Discrete rough paths and limit theorems
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Abstract: In this article, we consider limit theorems for some weighted type random sums (or discrete rough integrals). We introduce a general transfer principle from limit theorems for unweighted sums to limit theorems for weighted sums via rough path techniques. As a by-product, we provide a natural explanation of the various new asymptotic behaviors in contrast with the classical unweighted random sum case. We apply our principle to derive some weighted type Breuer-Major theorems, which generalize previous results to random sums that do not have to be in a finite sum of chaos. In this context, a Breuer-Major type criterion in notion of Hermite rank is obtained. We also consider some applications to realized power variations and to Ito's formulas in law. In the end, we study the asymptotic behavior of weighted quadratic variations for some multi-dimensional Gaussian processes.
The authors consider weighted sums of stochastic processes, in which relatively general weights are applied to increments of the underlying process. One of their main results (established using discrete rough paths techniques) allows one to deduce distributional limit theorems for such weighted sums if one has suitable control of an analogous weighted sum with monomial weights. This is applied to establish weighted Breuer-Major theorems, which generalise the classical unweighted results in several directions (including their applicability to random sums which are not necessarily in a finite sum of chaos) and for which multivariate versions may also be derived. Applications to parameter estimation and Itô's formula in law are studied. Limit results are also established for weighted quadratic variation in the multi-dimensional Gaussian setting.
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Cited in
(10)- Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
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