A note on central limit theorems for quadratic variation in case of endogenous observation times
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Publication:521334
DOI10.1214/17-EJS1252zbMath1361.60019arXiv1605.07056MaRDI QIDQ521334
Tobias Zwingmann, Mathias Vetter
Publication date: 7 April 2017
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.07056
central limit theoremsirregular dataquadratic variationsemimartingalestable convergencerealized variancehigh-frequency observations
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)
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