Limit theorems for moving averages of discretized processes plus noise

DOI10.1214/09-AOS756zbMath1196.60033arXiv1010.0335OpenAlexW3123454764MaRDI QIDQ973875

Mathias Vetter, Mark Podolskij, Jean Jacod

Publication date: 26 May 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0335

zbMATH Keywords

central limit theoremquadratic variationsemimartingalestable convergencemicrostructure noisehigh-frequency observations

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

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