Limit theorems for nondegenerate U-statistics of continuous semimartingales

DOI10.1214/13-AAP983MaRDI QIDQ473167zbMATH OpenOpenAlexFDO

Authors Christian Schmidt, Mark Podolskij, Johanna F. Ziegel

Publication date 21 November 2014

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.0358, https://projecteuclid.org/euclid.aoap/1409058038

zbMATH Keywords

mathematical financesemimartingalesstable functional central limit theorem, \(U\)-statisticsuniform convergence in probability

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Generalizations of martingales (60G48) Stochastic integrals (60H05) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Abstract: This paper presents the asymptotic theory for nondegenerate $U$-statistics of high frequency observations of continuous It^{o} semimartingales. We prove uniform convergence in probability and show a functional stable central limit theorem for the standardized version of the $U$-statistic. The limiting process in the central limit theorem turns out to be conditionally Gaussian with mean zero. Finally, we indicate potential statistical applications of our probabilistic results.

Review text

For a sequence of observations from a one-dimensional continuous Itō semimartingale, a U-statistic is defined by extending the similar definition based on a sequence of independent and identically distributed observations. The uniform convergence in probability (i.e., the law of large numbers) of this \(U\)-statistic is first proved. Then, a stable central limit theorem is established. With an estimate for the conditional variance, a standard central limit theorem is also proved for a standardized version of the \(U\)-statistic. These general results are applied to derive the limit distributions for Gini's mean difference, which may be viewed as an alternative measure of price variability in mathematical finance, an \(L^p\)-type test statistic for constant volatility, and the Wilcoxon test statistic for structure breaks.

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Cited in

(7)

• Some central limit theorems for \(\ell^\infty\)-valued semimartingales and their applications
• On high-frequency limits of \(U\)-statistics in Besov spaces over compact manifolds
• High-frequency asymptotics for path-dependent functionals of Itô semimartingales
• On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales
• scientific article; zbMATH DE number 1944308 (Why is no real title available?)
• Limit theorems for U-statistics of Bernoulli data
• Limit theorems for moving averages of discretized processes plus noise

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