Discretely sampled signals and the rough Hoff process
We introduce a canonical method for transforming a discrete sequential data set into an associated rough path made up of lead–lag increments. In particular, by sampling a -dimensional continuous semimartingale at a set of times , we construct a piecewise linear, axis-directed process comprised of...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Elsevier
2016
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