Discrete rough paths and limit theorems (Q2227464)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Discrete rough paths and limit theorems |
scientific article |
Statements
Discrete rough paths and limit theorems (English)
0 references
15 February 2021
0 references
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.
0 references
discrete rough paths
0 references
discrete rough integrals
0 references
weighted random sums
0 references
limit theorems
0 references
Breuer-Major theorem
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references