Buchumschlag

Multipower variation for Brownian semistationary processes

In this paper we study the asymptotic behaviour of power and multipower variations of processes Y: Yt = ∫−∞t g(t − s)σsW(ds) + Zt, where g : (0, ∞) → ℝ is deterministic, σ > 0 is a random process, W is the stochastic Wiener measure and Z is a stochastic process in the nature of a drift term. Proc...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Barndorff-Nielsen, Ole E. (VerfasserIn) , Corcuera, José Manuel (VerfasserIn) , Podolskij, Mark (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: 4 November 2011
In: Bernoulli
Year: 2011, Jahrgang: 17, Heft: 4, Pages: 1159-1194
ISSN:1573-9759
DOI:10.3150/10-BEJ316
Online-Zugang:Verlag, Volltext: http://dx.doi.org/10.3150/10-BEJ316
Verlag, Volltext: http://projecteuclid.org/euclid.bj/1320417500
Volltext
Verfasserangaben:Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij

MARC

LEADER 00000caa a2200000 c 4500
001 1575818256
003 DE-627
005 20220814151029.0
007 cr uuu---uuuuu
008 180529s2011 xx |||||o 00| ||eng c
024 7 |a 10.3150/10-BEJ316  |2 doi 
035 |a (DE-627)1575818256 
035 |a (DE-576)505818256 
035 |a (DE-599)BSZ505818256 
035 |a (OCoLC)1341010203 
040 |a DE-627  |b ger  |c DE-627  |e rda 
041 |a eng 
084 |a 27  |2 sdnb 
100 1 |a Barndorff-Nielsen, Ole E.  |d 1935-2022  |e VerfasserIn  |0 (DE-588)123060915  |0 (DE-627)082323178  |0 (DE-576)160173906  |4 aut 
245 1 0 |a Multipower variation for Brownian semistationary processes  |c Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij 
264 1 |c 4 November 2011 
300 |a 36 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
500 |a Gesehen am 29.05.2018 
520 |a In this paper we study the asymptotic behaviour of power and multipower variations of processes Y: Yt = ∫−∞t g(t − s)σsW(ds) + Zt, where g : (0, ∞) → ℝ is deterministic, σ > 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 σ. 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 σ. 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. 
650 4 |a central limit theorem 
650 4 |a Gaussian processes 
650 4 |a intermittency 
650 4 |a non-semimartingales 
650 4 |a turbulence 
650 4 |a volatility 
650 4 |a Wiener chaos 
700 1 |a Corcuera, José Manuel  |e VerfasserIn  |0 (DE-627)1467993964  |0 (DE-576)39799396X  |4 aut 
700 1 |a Podolskij, Mark  |d 1979-  |e VerfasserIn  |0 (DE-588)131883909  |0 (DE-627)51596252X  |0 (DE-576)298814277  |4 aut 
773 0 8 |i Enthalten in  |t Bernoulli  |d Aarhus : [Verlag nicht ermittelbar], 1995  |g 17(2011), 4, Seite 1159-1194  |h Online-Ressource  |w (DE-627)327395354  |w (DE-600)2044340-7  |w (DE-576)10266952X  |x 1573-9759  |7 nnas  |a Multipower variation for Brownian semistationary processes 
773 1 8 |g volume:17  |g year:2011  |g number:4  |g pages:1159-1194  |g extent:36  |a Multipower variation for Brownian semistationary processes 
856 4 0 |u http://dx.doi.org/10.3150/10-BEJ316  |x Verlag  |x Resolving-System  |3 Volltext 
856 4 0 |u http://projecteuclid.org/euclid.bj/1320417500  |x Verlag  |3 Volltext 
951 |a AR 
992 |a 20180529 
993 |a Article 
994 |a 2011 
998 |g 131883909  |a Podolskij, Mark  |m 131883909:Podolskij, Mark  |d 110000  |d 110200  |d 110000  |d 110400  |e 110000PP131883909  |e 110200PP131883909  |e 110000PP131883909  |e 110400PP131883909  |k 0/110000/  |k 1/110000/110200/  |k 0/110000/  |k 1/110000/110400/  |p 3  |y j 
999 |a KXP-PPN1575818256  |e 3010632770 
BIB |a Y 
SER |a journal 
JSO |a {"language":["eng"],"recId":"1575818256","type":{"media":"Online-Ressource","bibl":"article-journal"},"note":["Gesehen am 29.05.2018"],"person":[{"roleDisplay":"VerfasserIn","display":"Barndorff-Nielsen, Ole E.","role":"aut","family":"Barndorff-Nielsen","given":"Ole E."},{"family":"Corcuera","given":"José Manuel","roleDisplay":"VerfasserIn","display":"Corcuera, José Manuel","role":"aut"},{"roleDisplay":"VerfasserIn","display":"Podolskij, Mark","role":"aut","family":"Podolskij","given":"Mark"}],"title":[{"title_sort":"Multipower variation for Brownian semistationary processes","title":"Multipower variation for Brownian semistationary processes"}],"relHost":[{"type":{"bibl":"periodical","media":"Online-Ressource"},"disp":"Multipower variation for Brownian semistationary processesBernoulli","note":["Gesehen am 30.05.2023"],"corporate":[{"display":"Bernoulli Society for Mathematical Statistics and Probability","roleDisplay":"Herausgebendes Organ","role":"isb"}],"language":["eng"],"recId":"327395354","pubHistory":["1.1995 -"],"part":{"extent":"36","volume":"17","text":"17(2011), 4, Seite 1159-1194","pages":"1159-1194","issue":"4","year":"2011"},"title":[{"title":"Bernoulli","subtitle":"official journal of the Bernoulli Society for Mathematical Statistics and Probability","title_sort":"Bernoulli"}],"physDesc":[{"extent":"Online-Ressource"}],"origin":[{"publisherPlace":"Aarhus","dateIssuedDisp":"1995-","dateIssuedKey":"1995","publisher":"[Verlag nicht ermittelbar]"}],"id":{"issn":["1573-9759"],"eki":["327395354"],"zdb":["2044340-7"]}}],"physDesc":[{"extent":"36 S."}],"name":{"displayForm":["Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij"]},"id":{"doi":["10.3150/10-BEJ316"],"eki":["1575818256"]},"origin":[{"dateIssuedKey":"2011","dateIssuedDisp":"4 November 2011"}]} 
SRT |a BARNDORFFNMULTIPOWER4201 

Ähnliche Einträge