Monash University
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Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation

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journal contribution
posted on 2022-11-04, 03:52 authored by Chaohua Dong, Jiti Gao
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.

History

Classification-JEL

C14, C32

Creation date

2011-09

Working Paper Series Number

19/11

Length

60 pages

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2011-19

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