Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
DOI10.1016/j.econlet.2018.08.039zbMath1407.62254OpenAlexW2890900560WikidataQ129328496 ScholiaQ129328496MaRDI QIDQ1629646
Publication date: 12 December 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/423711/1/From_Compound_Poisson_Process_to_Brownian_Motion.pdf
Brownian motioncompound Poisson processthreshold regressionDoob's martingale inequalitysequential asymptotics
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Brownian motion (60J65) Martingales with continuous parameter (60G44)
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