On mixing and stability of limit theorems

From MaRDI portal
Publication:1245517

DOI10.1214/aop/1176995577zbMath0376.60026OpenAlexW2076469575WikidataQ104698859 ScholiaQ104698859MaRDI QIDQ1245517

G. K. Eagleson, David J. Aldous

Publication date: 1978

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176995577




Related Items

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICSAmbit Fields: Survey and New ChallengesTail behavior of birth-and-death and stochastically monotone processesJOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONSBirth death swap population in random environment and aggregation with two timescalesLévy processes conditioned to stay in a half-space with applications to directional extremesModified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is smallEstimation of the integrated volatility using noisy high-frequency data with jumps and endogeneityDeviation of orderpfor estimators of the variance in first-order stochastic differential equation (SDE)Is a Brownian Motion Skew?Conditionally identically distributed species sampling sequencesFluctuation theorems for synchronization of interacting Pólya's urnsLimit theorems for multivariate Brownian semistationary processes and feasible resultsEstimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement errorVolatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kindWeak convergence of sequences of random elements with random indicesBipower Variation for Gaussian Processes with Stationary IncrementsAsymptotic properties of randomly indexed sequences of random variablesCompensators and Cox convergenceA Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable ProcessesMean and variance of balanced Pólya urnsTwo limit theorems for ergodically regenerated stochastic processesConstructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential EquationsNecessary and sufficient conditions for the conditional central limit theoremOn stable convergence in the central limit theoremExponential families of stochastic processes and Lévy processesA central limit theorem for approximate martingale arrays with values in a locally compact Abelian groupOn the central limit theorem for point process martingalesNon-linear functionals of the Brownian bridge and some applications.G-stable convergence of semimartingalesRealized range-based estimation of integrated varianceAsymptotic theory of conditional inference for stochastic processesTesting the parametric form of the volatility in continuous time diffusion models -- a stochastic process approachMulti-level stochastic approximation algorithmsRate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusionsOptimal estimation of the supremum and occupation times of a self-similar Lévy processEstimating integrated co-volatility with partially miss-ordered high frequency dataBipower-type estimation in a noisy diffusion settingDistribution and moment convergence of martingalesBetween data cleaning and inference: pre-averaging and robust estimators of the efficient pricePower variation of some integral fractional processesThe two-parameter Poisson-Dirichlet distribution derived from a stable subordinatorAsymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian processEfficient estimation of stochastic volatility using noisy observations: a multi-scale approachDistributional limits of positive, ergodic stationary processes and infinite ergodic transformationsREALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUSGoodness-of-fit testing for fractional diffusionsStable convergence of the log-likelihood ratio to a mixture of infinitely divisible distributionsOn the weak invariance principle for stationary sequences under projective criteriaLocal asymptotic mixed normality of transformed Gaussian models for random fieldsA random functional central limit theorem for stationary linear processes generated by martingalesEdgeworth expansion for Euler approximation of continuous diffusion processesOn high frequency estimation of the frictionless price: the use of observed liquidity variablesAsymptotic error distributions of the Euler method for continuous-time nonlinear filteringStable convergence of square integrable martingale arrayEstimation of volatility functionals in the simultaneous presence of microstructure noise and jumpsIntegrated volatility and round-off errorOn covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemesA limit theorem for a class of stationary increments Lévy moving average process with multiple singularitiesLocal asymptotic mixed normality property for nonsynchronously observed diffusion processesLimit theorems for power variations of ambit fields driven by white noiseSpot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theoremNew tests for jumps in semimartingale modelsLocal asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processesZooming-in on a Lévy process: failure to observe threshold exceedance over a dense gridError distributions for random grid approximations of multidimensional stochastic integralsCentral limit theorems for exchangeable random variables when limits are scale mixtures of normalsLimit theory for panel data models with cross sectional dependence and sequential exogeneityANOVA for diffusions and Itō processesAsymptotic theory for Brownian semi-stationary processes with application to turbulenceMultipower variation for Brownian semistationary processesA note on the central limit theorem for bipower variation of general functionsAssessing relative volatility/ intermittency/energy dissipationA Gaussian calculus for inference from high frequency dataOn functional limit theorems for multivariate linear processes with applications to sequential estimationLimit theorems for nondegenerate \(U\)-statistics of continuous semimartingalesOn the principle of conditioning and convergence to mixtures of distributions for sums of dependent random variablesDiscrete rough paths and limit theoremsStable limit theorems for empirical processes under conditional neighborhood dependenceConvergence of self-normalized generalized \(U\)-statisticsMisspecified diffusion models with high-frequency observations and an application to neural networksEstimation of integrated quadratic covariation with endogenous sampling timesCrank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motionsEstimating the integrated volatility using high-frequency data with zero durationsMixing limit theorems for ergodic transformationsA Central Limit Theorem and its Applications to Multicolor Randomly Reinforced UrnsJump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observationsSubsampling high frequency dataDistributions on unbounded moment spaces and random moment sequencesBias-correcting the realized range-based variance in the presence of market microstructure noiseConvergence of approximate martingale arrays to mixtures of infinitely divisible distributions in locally compact Abelian groupsVolatility estimation of general Gaussian Ornstein-Uhlenbeck processConvergence results for multivariate martingalesConditional convergence to infinitely divisible distributions with finite varianceRate of convergence for polymers in a weak disorderStatistical Romberg extrapolation: a new variance reduction method and applications to option pricingThe hiring problem with rank-based strategiesOn estimation of quadratic variation for multivariate pure jump semimartingalesDiscretization of the Lamperti representation of a positive self-similar Markov processOn non-standard limits of Brownian semi-stationary processesA Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary ProcessesRealised quantile-based estimation of the integrated variancePre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous dataEstimating covariation: Epps effect, microstructure noiseRandom norming AIDS analysis of non-linear regression models with sequential informative dose selectionEstimation of quadratic variation for two-parameter diffusionsInference for a two-stage enrichment designPower variation for Gaussian processes with stationary incrementsAsymptotic behavior of M-estimator and related random field for diffusion processStable convergence of semimartingalesA note on the local asymptotic mixed normality of a controlled branching process with a random control functionRealized Laplace transforms for pure jump semimartingales with presence of microstructure noiseAsymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficientsA central limit theorem for the functional estimation of the spot volatilityLimit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary ProcessesStable convergence of random sequences with random indicesThe conditional central limit theorem in Hilbert spaces.A multivariate central limit theorem for continuous local martingalesNecessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent incrementsAsymptotic error distributions for the Euler method for stochastic differential equationsA decreasing step method for strongly oscillating stochastic modelsConvergence results for a normalized triangular array of symmetric random variablesLimit theorems for the realised semicovariances of multivariate Brownian semistationary processes