Estimation in sparsely sampled random walks

Peter Guttorp and Richard A. Lockhart

Stochastic Processes and their Applications, 1989, vol. 31, issue 2, 315-320

Abstract: 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].

Keywords: local; central; limit; theorem; Hellinger; distance; consistency (search for similar items in EconPapers)
Date: 1989
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