McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 22, pp. 5518-5522
We analyze whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correlations, and densities constructed via time averages of the increment x(t,T)=x(t+T)−x(t), e.g. x(t,T)=ln(p(t+T)/p(t)) in finance...