Limit theorems for moving averages of discretized processes plus noise

DOI10.1214/09-AOS756zbMATH Open1196.60033arXiv1010.0335OpenAlexW3123454764MaRDI QIDQ973875FDOQ973875

Authors: Jean Jacod, Mark Podolskij, Mathias Vetter 

Publication date: 26 May 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approach (see [Bernoulli 15 (2009) 634--658, Stochastic Process. Appl. 119 (2009) 2249--2276]) and provides consistent estimates for various characteristics of general semimartingales. Furthermore, we prove the associated multidimensional (stable) central limit theorems. As expected, we find central limit theorems with a convergence rate $n^{-1/4}$, if $n$ is the number of observations.

Full work available at URL: https://arxiv.org/abs/1010.0335

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zbMATH Keywords

central limit theoremmicrostructure noisesemimartingalequadratic variationstable convergencehigh-frequency observations

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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Cited In (49)

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• Laws of large numbers for Hayashi-Yoshida-type functionals
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