Limit theorems for the estimation of L1 integrals using the Brownian motion

We provide a point estimate for integrals on R, based on the standard Brownian motion. We prove the consistency of the estimator and limit theorems for the fluctuations. The proof relies on computing the distribution of the local time of a Brownian motion at a specific stopping time.

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Year of publication:	2015
Authors:	Athreya, Krishna B. ; Normand, Raoul ; Roy, Vivekananda ; Wu, Sheng-Jhih
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 100.2015, C, p. 42-47
Publisher:	Elsevier
Subject:	Brownian motion \| Local time \| Point estimate \| Ray–Knight theorem \| Regenerative process

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

Persistent link: https://www.econbiz.de/10011263166