Edgeworth expansion for functionals of continuous diffusion processes

DOI10.1214/16-AAP1179MaRDI QIDQ511473zbMATH OpenFDO

Authors Nakahiro Yoshida, Mark Podolskij

Publication date 21 February 2017

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

Full work available at URL https://arxiv.org/abs/1309.2071, https://projecteuclid.org/euclid.aoap/1481792589

zbMATH Keywords

diffusion processesEdgeworth expansionhigh frequency observationspower variation

Mathematics Subject Classification ID

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

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.

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Cited in

(14)

• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
• Asymptotic expansion of Skorohod integrals
• Edgeworth expansion for the pre-averaging estimator
• Edgeworth expansion for Euler approximation of continuous diffusion processes
• Asymptotic expansion and estimates of Wiener functionals
• High order asymptotic expansion for Wiener functionals
• The asymptotic expansion of the regular discretization error of Itô integrals
• Edgeworth expansions for volatility models
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Empirical likelihood for high frequency data
• Edgeworth expansions for realized volatility and related estimators
• Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
• Edgeworth expansion for ergodic diffusions

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