Divergence of an integral of a process with small ball estimate

Yuliya Mishura and Nakahiro Yoshidae

Stochastic Processes and their Applications, 2022, vol. 148, issue C, 1-24

Abstract: The paper contains sufficient conditions on the function f and the stochastic process X that supply the divergence of the integral functional ∫0Tf(Xt)2dt at the rate T1−ε as T→∞ for every ε>0. These conditions include so called small ball estimates which are discussed in detail. Statistical applications are provided.

Keywords: Integral functional; Rate of divergence; Small ball estimate; Statistical applications (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414922000424
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:148:y:2022:i:c:p:1-24

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2022.02.006

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().