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...

Полное описание

Библиографические подробности
Главные авторы:	Flint, G, Hambly, B, Lyons, T
Формат:	Journal article
Опубликовано:	Elsevier 2016

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