Multipower variation for Brownian semistationary processes

DOI10.3150/10-BEJ316zbMATH Open1244.60039arXiv1201.0868OpenAlexW2789158122MaRDI QIDQ654402FDOQ654402

Authors: Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij 

Publication date: 28 December 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper we study the asymptotic behaviour of power and multipower variations of processes $Y$:[Y_t=int_{-in fty}^tg(t-s)sigma_sW(mathrm{d}s)+Z_t,] where $g:(0,infty)ightarrowmathbbR$ is deterministic, $sigma>0$ is a random process, $W$ is the stochastic Wiener measure and $Z$ is a stochastic process in the nature of a drift term. Processes of this type serve, in particular, to model data of velocity increments of a fluid in a turbulence regime with spot intermittency $sigma$. The purpose of this paper is to determine the probabilistic limit behaviour of the (multi)power variations of $Y$ as a basis for studying properties of the intermittency process $sigma$. Notably the processes $Y$ are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results, a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to the realised variance ratio are given.

Full work available at URL: https://arxiv.org/abs/1201.0868

Recommendations

• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Brownian semistationary processes and volatility/intermittency
• On non-standard limits of Brownian semi-stationary processes
• Limit theorems for multivariate Brownian semistationary processes and feasible results

zbMATH Keywords

Gaussian processesMalliavin calculuscentral limit theoremvolatilityturbulenceWiener chaos expansionintermittencymultipower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Stochastic integrals (60H05) (L^p)-limit theorems (60F25)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Central limit theorems for sequences of multiple stochastic integrals
• Power variation for Gaussian processes with stationary increments
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Title not available (Why is that?)
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
• A central limit theorem for non-instantaneous filters of a stationary Gaussian process
• On mixing and stability of limit theorems
• Variation, jumps and high-frequency data in financial econometrics
• Quasi Ornstein-Uhlenbeck processes
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Limit theorems for multipower variation in the presence of jumps
• A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
• Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
• Time Change, Volatility, and Turbulence
• Brownian semistationary processes and volatility/intermittency
• Ambit processes; with applications to turbulence and tumour growth
• Power and multipower variation: inference for high frequency data
• Bipower Variation for Gaussian Processes with Stationary Increments
• Lévy-based spatial-temporal modelling, with applications to turbulence
• Multipower variation for Brownian semistationary processes
• A note on the central limit theorem for bipower variation of general functions
• Absolute moments in 3-dimensional normal distribution
• Functional limit theorems for generalized quadratic variations of Gaussian processes

Cited In (43)

• High-frequency sampling and kernel estimation for continuous-time moving average processes
• Brownian semistationary processes and volatility/intermittency
• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• Assessing relative volatility/ intermittency/energy dissipation
• Multipower variation for Brownian semistationary processes
• Ambit processes, their volatility determination and their applications
• On non-standard limits of Brownian semi-stationary processes
• Power variation for Itô integrals with respect to \(\alpha\)-stable processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Limit theorems for power variations of ambit fields driven by white noise
• Statistical inference for rough volatility: central limit theorems
• Quantitative Breuer-Major theorems
• High-frequency analysis of parabolic stochastic PDEs
• Gamma Kernels and BSS/LSS Processes
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
• Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
• Quasi Ornstein-Uhlenbeck processes
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• Path properties of a generalized fractional Brownian motion
• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• Hybrid scheme for Brownian semistationary processes
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
• On limit theory for Lévy semi-stationary processes
• New central limit theorems for functionals of Gaussian processes and their applications
• Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
• Ambit Fields: Survey and New Challenges
• Empirical likelihood methods for discretely observed Gaussian moving averages
• A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processes
• Pathwise Decompositions of Brownian Semistationary Processes
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
• A weak law of large numbers for realised covariation in a Hilbert space setting
• Estimators of fractal dimension: assessing the roughness of time series and spatial data
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Power variations for a class of Brown-Resnick processes
• On limit theory for functionals of stationary increments Lévy driven moving averages
• A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
• Stationary infinitely divisible processes
• The local fractional bootstrap
• Goodness-of-fit testing for fractional diffusions

This page was built for publication: Multipower variation for Brownian semistationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654402)