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Some arithmetic properties of short random walk integrals

✍ Scribed by Jonathan M. Borwein; Dirk Nuyens; Armin Straub; James Wan

Publisher
Springer US
Year
2011
Tongue
English
Weight
792 KB
Volume
26
Category
Article
ISSN
1382-4090

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The asymptotic behavior of the empirical means and variances for the geometric and arithmetic random walks are studied, when the underlying random walk is trended. Thus the effect of misspecifications can be described, and two tests are proposed. The first test uses a classical approach in model sel