Limit theorems for power variations of ambit fields driven by white noise

DOI10.1016/J.SPA.2014.01.005zbMATH Open1319.60110arXiv1301.2107OpenAlexW2004619155MaRDI QIDQ401465FDOQ401465

Authors: Mikko S. Pakkanen 

Publication date: 27 August 2014

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

Abstract: We study the asymptotics of lattice power variations of two-parameter ambit fields driven by white noise. Our first result is a law of large numbers for power variations. Under a constraint on the memory of the ambit field, normalized power variations converge to certain integral functionals of the volatility field associated to the ambit field, when the lattice spacing tends to zero. This result holds also for thinned power variations that are computed by only including increments that are separated by gaps with a particular asymptotic behavior. Our second result is a stable central limit theorem for thinned power variations.

Full work available at URL: https://arxiv.org/abs/1301.2107

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zbMATH Keywords

central limit theoremlaw of large numberspower variationchaos decompositionambit fields

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

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