Limit theorems for trawl processes

DOI10.1214/21-EJP652MaRDI QIDQ2243917zbMATH OpenOpenAlexFDO

Authors Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri, Almut E. D. Veraart

Publication date 11 November 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.10698

zbMATH Keywords

functional limit theoremmoving averagepartial sumstable convergencetrawl process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Brownian motion (60J65)

Abstract: In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{iDelt{a}_n}{)}_{i=0}^{lfloorntfloor-1}$, under the assumption that as $nuparrowinfty$, $Delt{a}_{n}downarrow0$ and $nDelt{a}_{n}ightarrowmuin[0,+infty]$. Second, we derive a functional limit theorem for trawl processes as the L'{e}vy measure of the trawl seed grows to infinity and show that the limiting process has a Gaussian moving average representation.

Review text

The topic of the article are the probabilistic limit theorems for trawl processes, stationary infinitely divisible stochastic processes introduced in [\textit{O. E. Barndorff-Nielsen}, Braz. J. Probab. Stat. 25, No. 3, 294--322 (2011; Zbl 1244.60037)] (see also [\textit{O. E. Barndorff-Nielsen} et al., Scand. J. Stat. 41, No. 3, 693--724 (2014; Zbl 1309.60033)]). The first result concerns the asymptotic behavior of the partial sums \[ \mathbf{S}^n=\left(\sum\limits_{k=0}^{\lfloor nt\rfloor-1}(X_{\triangle_nk}-\mathbf{E}(X_{\triangle_nk}))\right)_{t>0}, \] where \({\triangle_n\downarrow0}\) and \({n\triangle_n\to\mu}, {\mu\in[0,+\infty]}\) as \({n\uparrow\infty}\). Three different cases are considered. If \({\mu\in(0,+\infty)}\) then it relates with a Riemann sum and converges in probability to \({\int_0^{t\mu}(X_s-\mathbf{E}(X_s))\,ds}.\) For \({\mu=0}\) the behavior of \(\mathbf{S}^n\) depends on the increments of \(X\) around 0 and there is proved that after properly rescaling it converges stably to some stochastic integral driven by a Lévy process. When \({\mu=+\infty}\) the limit depends on whether the trawl process \(X\) has short or long memory. Consequently, \(\mathbf{S}^n\) typically converges either to a Brownian motion or to a fractional Brownian motion. The second main result is a general functional limit theorem for trawl processes in terms of the characteristic triplets of their Levy seeds.

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Cited in

(6)

• Intermittency of trawl processes
• Limit theorems for integrated trawl processes with symmetric Lévy bases
• Discrete-time trawl processes
• Inference and forecasting for continuous-time integer-valued trawl processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
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