Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale

DOI10.1016/j.spa.2016.08.009zbMath1364.60042arXiv1506.07404MaRDI QIDQ529427

Yong-Cai Geng, Sumit K. Garg

Publication date: 18 May 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.07404

zbMATH Keywords

weak convergence; Gaussian process; Lévy measure; empirical distribution function; Itō semimartingale; high-frequency statistics

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G15: Gaussian processes

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

60G48: Generalizations of martingales

60F17: Functional limit theorems; invariance principles