On Convergence to Stochastic Integrals

2010/06/24 by Zheng-Yan Lin, Lin, Zheng-Yan, Han-Chao Wang +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1006.4693

20pages

arxiv created 2010/08/01 · arxiv updated 2010/08/03

Abstract

Weak convergence of various general functionals of partial sums of dependent random variables to stochastic integral now play a major role in the modern statistics theory. In this paper, we obtain the weak convergence of various general functionals of partial sums of casual process by means of the method which was introduced in Jacod and Shiryaev (2003).

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