Functional convergence of stochastic integrals with application to statistical inference

DOI10.1016/J.SPA.2011.10.007MaRDI QIDQ765875zbMATH OpenOpenAlexFDO

Authors Li Song, Richard A. Davis

Publication date 22 March 2012

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

Full work available at URL https://doi.org/10.1016/j.spa.2011.10.007

zbMATH Keywords

martingale differencesstochastic processesunit root problemweak convergenceweak convergence of likelihoods

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Review text

The main purpose of this paper is to supply some generic conditions which guarantee the weak convergence of some stochastic sums or integrals of the type \[ \iint_{0<s<t<1} f_n(\beta,s,t)\,dU_n(s)\,dV_n(t) \] towards \[ \int_{0<s<t<1} f(\beta,s,t)\,dB_s dW_t, \] provided the martingale differences \((U_n,V_n)\) converge in law to the Brownian \((B,W)\) and the smooth \(f_n(\beta,s,t)\) converge to the smooth \(f(\beta,s,t)\) (the smoothness is with respect to the parameter \(\beta\)). Typically, they consider martingale differences \((X_n,Y_n)\) which are bounded in \(L^2\) and such that \[ {1\over\sqrt{n}} \sum^{[ns]}_{i=0} (X_i,Y_i) \] converges in law to \((B_s,W_s)\), and sums of the type \[ {1\over n} \sum_{0\leq i<j\leq n} f_n\Biggl(\beta,{i-1\over n}, {j\over n}\Biggr) X_i Y_j, \] which, under convenient technical conditions, converge in law to \[ \int_{0<s<t\leq 1} f(\beta, s,t)\,dB_s\,dW_t. \] This type of result is then applied to some examples and, in particular, to several examples of weak convergence of (joint) likelihoods.

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Cites work

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Cited in

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