A random functional central limit theorem is obtained for processes of partial sums andproduct sums of linear processes generated by non-stationary martingale differences. It devel-ops and improves some corresponding ...A random functional central limit theorem is obtained for processes of partial sums andproduct sums of linear processes generated by non-stationary martingale differences. It devel-ops and improves some corresponding results on processes of partial sums of linear processesgenerated by strictly stationary martingale differences, which can be found in [5].展开更多
This paper presents limit theorems for realized power variation of processes of the form Xt=t0φsdGs+ξt as the sampling frequency within a fixed interval increases to infinity.Here G is a Gaussian process with statio...This paper presents limit theorems for realized power variation of processes of the form Xt=t0φsdGs+ξt as the sampling frequency within a fixed interval increases to infinity.Here G is a Gaussian process with stationary increments,ξis a purely non-Gaussian L′evy process independent from G,andφis a stochastic process ensuring that the integral is well defined as a pathwise Riemann-Stieltjes integral.We obtain the central limit theorems for the case that both the continuous term and the jump term are presented simultaneously in the law of large numbers.展开更多
基金the National Natural Science Foundation of China(No.10271087).
文摘A random functional central limit theorem is obtained for processes of partial sums andproduct sums of linear processes generated by non-stationary martingale differences. It devel-ops and improves some corresponding results on processes of partial sums of linear processesgenerated by strictly stationary martingale differences, which can be found in [5].
基金supported by National Natural Science Foundation of China(Grant Nos.11071045 and 11226201)Natural Science Foundation of Jiangsu Province of China(Grant No.BK20131340)+1 种基金Social Science Foundation of Chinese Ministry of Education(Grant No.12YJCZH128)QingLan Project ofthe Priority Academic Program Development of Jiangsu Higher Education Institutions(Auditing Science and Technology)
文摘This paper presents limit theorems for realized power variation of processes of the form Xt=t0φsdGs+ξt as the sampling frequency within a fixed interval increases to infinity.Here G is a Gaussian process with stationary increments,ξis a purely non-Gaussian L′evy process independent from G,andφis a stochastic process ensuring that the integral is well defined as a pathwise Riemann-Stieltjes integral.We obtain the central limit theorems for the case that both the continuous term and the jump term are presented simultaneously in the law of large numbers.
