Functional convergence of stochastic integrals with application to statistical inference

DOI10.1016/J.SPA.2011.10.007zbMATH Open1252.60050OpenAlexW1988854597MaRDI QIDQ765875FDOQ765875

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

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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)

Cites Work

• Mixing: Properties and examples
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• Limiting distributions of least squares estimates of unstable autoregressive processes
• 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 \({\mathbb{D}}^ 1)\)
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• Weak limit theorems for stochastic integrals and stochastic differential equations
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• M-estimation for autoregression with infinite variance
• Unit roots in moving averages beyond first order
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Cited In (6)

• Unit roots in moving averages beyond first order
• Title not available (Why is that?)
• Weak convergence of some classes of martingales with jumps.
• Title not available (Why is that?)
• 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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