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...

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Bibliografiske detaljer
Main Authors:	Flint, G, Hambly, B, Lyons, T
Format:	Journal article
Udgivet:	Elsevier 2016

Lignende værker

Discrete approximations in stochastic rough path theory
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