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...
| Hlavní autoři: | , , |
|---|---|
| Médium: | Journal article |
| Vydáno: |
Elsevier
2016
|