Stochastic integral convergence: a white noise calculus approach

DOI10.1214/15-EJS1070zbMath1327.62472OpenAlexW1829056821MaRDI QIDQ887252

Chi Tim Ng, Ngai Hang Chan

Publication date: 28 October 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1442364263

zbMATH Keywords

convergencewhite noise calculusstochastic integral\(\mathcal{S}\)-transformfractional Dickey-Fuller statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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