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

stochastic processesweak convergencemartingale differencesunit root problemweak convergence of likelihoods

Mathematics Subject Classification ID

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

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Cites work

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• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Limiting distributions of least squares estimates of unstable autoregressive processes
• M-estimation for autoregression with infinite variance
• Mixing: Properties and examples
• Unit roots in moving averages beyond first order
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(7)

• Unit roots in moving averages beyond first order
• scientific article; zbMATH DE number 1241329 (Why is no real title available?)
• Limit theorems for stochastic integrals with long memory processes
• Weak convergence of some classes of martingales with jumps.
• scientific article; zbMATH DE number 482618 (Why is no real title available?)
• Terminal-dependent statistical inference for the integral form of FBSDE
• The use of generation stochastic models to study an epidemic disease

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