Limit theorems for multivariate Brownian semistationary processes and feasible results

DOI10.1017/APR.2019.30zbMATH Open1427.60047arXiv1712.03564OpenAlexW2971565885WikidataQ127307470 ScholiaQ127307470MaRDI QIDQ5203952FDOQ5203952

Authors: Riccardo Passeggeri, Almut E. D. Veraart 

Publication date: 9 December 2019

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

Abstract: In this paper we introduce the extit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for general stationary multivariate Gaussian processes, which are not necessarily semimartingales. Then, we show weak laws of large numbers, central limit theorems and feasible results for BSS processes. An explicit example based on the so-called gamma kernels is also provided.

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

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zbMATH Keywords

central limit theoremlaw of large numbersWiener chaosgamma kernelhigh frequency dataintermittencyfeasiblemultivariate 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)

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Cited In (9)

• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• Multipower variation for Brownian semistationary processes
• On non-standard limits of Brownian semi-stationary processes
• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
• Gamma kernels and BSS/LSS processes
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
• A weak law of large numbers for realised covariation in a Hilbert space setting
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process

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