Discretely sampled signals and the rough Hoff process

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Flint, G, Hambly, B, Lyons, T
स्वरूप:	Journal article
प्रकाशित:	Elsevier 2016

समान संसाधन

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