Limit theorems for multivariate Brownian semistationary processes and feasible results

DOI10.1017/apr.2019.30zbMath1427.60047arXiv1712.03564OpenAlexW2971565885WikidataQ127307470 ScholiaQ127307470MaRDI QIDQ5203952

Almut E. D. Veraart, Riccardo Passeggeri

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.03564

zbMATH Keywords

law of large numberscentral limit theoremWiener chaosintermittencyhigh frequency datagamma kernelfeasiblemultivariate Brownian semistationary processnonsemimartingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (2)

A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

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