Edgeworth expansion for functionals of continuous diffusion processes

DOI10.1214/16-AAP1179zbMath1417.62238arXiv1309.2071MaRDI QIDQ511473

Nakahiro Yoshida, Mark Podolskij

Publication date: 21 February 2017

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

Full work available at URL: https://arxiv.org/abs/1309.2071

zbMATH Keywords

diffusion processesEdgeworth expansionpower variationhigh frequency observations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

Edgeworth expansion for Euler approximation of continuous diffusion processes ⋮ Edgeworth expansion for the pre-averaging estimator ⋮ High order asymptotic expansion for Wiener functionals ⋮ The asymptotic expansion of the regular discretization error of Itô integrals ⋮ Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos ⋮ Asymptotic expansion of Skorohod integrals

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