Assessing relative volatility/ intermittency/energy dissipation
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Publication:470490
DOI10.1214/14-EJS942zbMATH Open1302.60115arXiv1304.6683OpenAlexW1967727656MaRDI QIDQ470490FDOQ470490
Authors: Jürgen Schmiegel, Mikko S. Pakkanen, Ole E. Barndorff-Nielsen 
Publication date: 12 November 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.
Full work available at URL: https://arxiv.org/abs/1304.6683
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Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48) Statistical turbulence modeling (76F55) Meteorology and atmospheric physics (86A10)
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Cited In (13)
- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Limit theorems for power variations of ambit fields driven by white noise
- High-frequency analysis of parabolic stochastic PDEs
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Limit theorems for multivariate Brownian semistationary processes and feasible results
- Hybrid scheme for Brownian semistationary processes
- Some recent developments in ambit stochastics
- On limit theory for Lévy semi-stationary processes
- Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
- Ambit Fields: Survey and New Challenges
- Gamma kernels and BSS/LSS processes
- The local fractional bootstrap
- Large and moderate deviations for stochastic Volterra systems
Uses Software
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