Edgeworth expansion for functionals of continuous diffusion processes

DOI10.1214/16-AAP1179zbMATH Open1417.62238arXiv1309.2071MaRDI QIDQ511473FDOQ511473

Mark Podolskij, Nakahiro Yoshida

Publication date: 21 February 2017

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

Abstract: This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the second order Edgeworth expansion for power variation of diffusion processes. Our methodology relies on martingale embedding, Malliavin calculus and stable central limit theorems for semimartingales. Finally, we demonstrate the density expansion for studentized statistics of power variations.

Full work available at URL: https://arxiv.org/abs/1309.2071

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zbMATH Keywords

Edgeworth expansiondiffusion processespower variationhigh frequency observations

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Martingales with continuous parameter (60G44)

Cited In (11)

• Edgeworth expansion for the pre-averaging estimator
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Asymptotic expansion and estimates of Wiener functionals
• Empirical likelihood for high frequency data
• Asymptotic expansion of Skorohod integrals
• Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
• The asymptotic expansion of the regular discretization error of Itô integrals
• 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

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