Open AccessLimit theorems for Banach-valued autoregressive processes: applications to real continuous time processes
Author(s) -
Denis Bosq
Publication year - 1996
Publication title -
bulletin of the belgian mathematical society - simon stevin
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.36
H-Index - 31
eISSN - 2034-1970
pISSN - 1370-1444
DOI - 10.36045/bbms/1105652783
Subject(s) - limit (mathematics) , autoregressive model , mathematics , statistical physics , econometrics , mathematical analysis , physics
We show that a large class of continuous time processes admits a Banach autoregressive representation. This fact allows us to obtain various limit theorems for continuous time processes. In particular we prove the law of iterated logarithm for processes which satisfy a stochastic dierential equation.
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