Martingale expansion in mixed normal limit

DOI10.1016/J.SPA.2012.10.007zbMATH Open1261.60034arXiv1210.3680OpenAlexW2032065332MaRDI QIDQ1940237FDOQ1940237

Authors: Nakahiro Yoshida 

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived in Yoshida (1997) as an application of the martingale expansion. The expansion for the asymptotically mixed normal distribution is then indispensable to develop the higher-order approximation and inference for the volatility. The classical approaches in limit theorems, where the limit is a process with independent increments or a simple mixture, do not work. We present asymptotic expansion of a martingale with asymptotically mixed normal distribution. The expansion formula is expressed by the adjoint of a random symbol with coefficients described by the Malliavin calculus, differently from the standard invariance principle. Applications to a quadratic form of a diffusion process ("realized volatility") are discussed.

Full work available at URL: https://arxiv.org/abs/1210.3680

Recommendations

• Malliavin calculus and asymptotic expansion for martingales
• Embedding and asymptotic expansions for martingales
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model

zbMATH Keywords

asymptotic expansionMalliavin calculusmartingalequadratic formmixed normal distributionrandom symboldouble Itô integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

Cited In (17)

• Asymptotic expansion for the quadratic variations of the solution to the heat equation with additive white noise
• Edgeworth expansion for the pre-averaging estimator
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion of an estimator for the Hurst coefficient
• Order estimate of functionals related to fractional Brownian motion
• Quasi-likelihood analysis and its applications
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Asymptotic expansion and estimates of Wiener functionals
• Title not available (Why is that?)
• Adaptive estimation for degenerate diffusion processes
• Asymptotic expansion of Skorohod integrals
• The asymptotic expansion of the regular discretization error of Itô integrals
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
• Embedding and asymptotic expansions for martingales
• High order asymptotic expansion for Wiener functionals
• Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
• Edgeworth expansion for Euler approximation of continuous diffusion processes

This page was built for publication: Martingale expansion in mixed normal limit

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1940237)