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Discretely sampled signals and the rough Hoff process

Abstract:

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 a past and a future component. We call such an object the Hoff process associated with the discrete data . The Hoff process can be lifted to its natural rough path enhancement and we consider the q...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.spa.2016.02.011

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Institution:
University of Oxford
Oxford college:
St Anne's College
Role:
Author
More by this author
Institution:
University of Oxford
Oxford college:
St Anne's College
Role:
Author
European Research Council More from this funder
Publisher:
Elsevier Publisher's website
Journal:
Stochastic Processes and their Applications Journal website
Volume:
126
Issue:
9
Pages:
2593-2614
Publication date:
2016-03-09
Acceptance date:
2016-02-23
DOI:
EISSN:
1879-209X
ISSN:
0304-4149
Source identifiers:
502241
Keywords:
Pubs id:
pubs:502241
UUID:
uuid:3b90f891-bec4-4aa0-ac1d-06792d3c198c
Local pid:
pubs:502241
Deposit date:
2017-09-29

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