Power variation for a class of stationary increments Lévy driven moving averages

DOI10.1214/16-AOP1170MaRDI QIDQ682272zbMATH OpenFDO

Authors Andreas Basse-O'Connor, Mark Podolskij, Raphael Lachieze-Rey

Publication date 14 February 2018

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

Full work available at URL https://arxiv.org/abs/1603.07382, https://projecteuclid.org/euclid.aop/1513069265

zbMATH Keywords

fractional processeslimit theoremsstable convergencehigh frequency datapower variationmoving averages

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Abstract: In this paper we present some new limit theorems for power variation of $k$th order increments of stationary increments L'evy driven moving averages. In the infill asymptotic setting, where the sampling frequency converges to zero while the time span remains fixed, the asymptotic theory gives very surprising results, which (partially) have no counterpart in the theory of discrete moving averages. More specifically, we will show that the first order limit theorems and the mode of convergence strongly depend on the interplay between the given order of the increments, the considered power $p>0$, the Blumenthal--Getoor index $$ of the driving pure jump L'evy process $L$ and the behaviour of the kernel function $g$ at $0$ determined by the power $alpha$. First order asymptotic theory essentially comprises three cases: stable convergence towards a certain infinitely divisible distribution, an ergodic type limit theorem and convergence in probability towards an integrated random process. We also prove the second order limit theorem connected to the ergodic type result. When the driving L'evy process $L$ is a symmetric $$-stable process we obtain two different limits: a central limit theorem and convergence in distribution towards a $$-stable totally right skewed random variable.

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