The local fractional bootstrap
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bootstrapBrownian semistationary processfractional Brownian motionHölder regularityroughnessstochastic volatilitytime seriesturbulence
Central limit and other weak theorems (60F05) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Nonparametric statistical resampling methods (62G09) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)
Abstract: We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.
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Cited in
(6)- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
- Affine Volterra processes
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- On a local uniform bootstrap validity
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
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