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Strong approximation of vector-valued stochastic integrals

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  • Gerencsér, László

Abstract

We present a strong approximation technique which is useful to develop fine asymptotic results for parameter estimator processes of linear stochastic systems. Among other applications Rissanen's tail-condition has been verified for Gaussian ARMA processes using the results of this paper.

Suggested Citation

  • Gerencsér, László, 1991. "Strong approximation of vector-valued stochastic integrals," Statistics & Probability Letters, Elsevier, vol. 12(3), pages 201-207, September.
    • Handle: RePEc:eee:stapro:v:12:y:1991:i:3:p:201-207
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    Cited by:

    1. Mihalache, Stefan, 2012. "Strong approximations and sequential change-point analysis for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 464-472.

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