Search Results - subject:"Intersection local time"

Specification Testing for Nonlinear Cointegrating Regression

Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2011

depends on the self intersection local time of a Gaussian process. A new weak convergence result is developed for certain … partial sums of functions involving nonstationary time series that converges to the intersection local time process. This …

Persistent link: https://www.econbiz.de/10008790283

Central limit theorem for functionals of two independent fractional Brownian motions

Nualart, David; Xu, Fangjun - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3782-3806

We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

Persistent link: https://www.econbiz.de/10010907048

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

Jung, Paul; Markowsky, Greg - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3846-3868

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and …

Persistent link: https://www.econbiz.de/10011065021