Donsker theorems for diffusions: necessary and sufficient conditions

DOI10.1214/009117905000000152MaRDI QIDQ2569224zbMATH OpenOpenAlexFDO

Authors Harry van Zanten, Aad van der Vaart

Publication date 18 October 2005

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

Full work available at URL https://arxiv.org/abs/math/0507412

zbMATH Keywords

empirical processlocal timeuniform central limit theoremmajorizing measuresDonsker classlocal time estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Abstract: We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly to those of a zero-mean Gaussian random process G. We prove that the weak convergence G_tRightarrow G takes place in ell^{infty}(F) if and only if the limit G exists as a tight, Borel measurable map. The proof relies on majorizing measure techniques for continuous martingales. Applications include the weak convergence of the local time density estimator and the empirical distribution function on the full state space.

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Cited in

(21)

• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
• A Donsker theorem to simulate one-dimensional processes with measurable coefficients
• Testing for stationarity at high frequency
• Volatility regressions with fat tails
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Donsker theorems for occupation measures of multi-dimensional periodic diffusions
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• Notwendige und hinreichende Bedingungen für das Theorem von Cantelli
• Estimation for the invariant law of an ergodic diffusion process based on high-frequency data
• On strong causal binomial approximation for stochastic processes
• Goodness of fit test for ergodic diffusion processes
• Asymptotics for recurrent diffusions with application to high frequency regression
• Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Asymptotically distribution free test for parameter change in a diffusion process model
• Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
• Skorohod representation on a given probability space
• Large deviations in total variation of occupation measures of one-dimensional diffusions

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