Estimation in sparsely sampled random walks

A random walk on the line is observed at times n1, n1 + n2,.... If the steps have 2k - 2 finite moments then the kth moment can be estimated consistently if and only if [Sigma]n2-ki = [infinity].

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Year of publication:	1989
Authors:	Guttorp, Peter ; Lockhart, Richard A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 31.1989, 2, p. 315-320
Publisher:	Elsevier
Keywords:	local central limit theorem Hellinger distance consistency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875301