Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation

Chaohua Dong and Jiti Gao

No 19/11, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Two types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of truncation series to the corresponding series are established. An asymptotic theory is established. Both the proposed expansions and asymptotic theory are applied to establish consistent estimators in a class of time series econometric models.

Keywords: Asymptotic theory; Brownian motion; econometric estimation, series expansion. (search for similar items in EconPapers)
JEL-codes: C14 C32 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2011-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-upt
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