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DC Field | Value | Language |
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dc.contributor.author | Barndorff-Nielsen, O. E. (Ole E.) | cat |
dc.contributor.author | Corcuera Valverde, José Manuel | cat |
dc.contributor.author | Podolskij, Mark | cat |
dc.date.accessioned | 2012-04-10T10:21:41Z | - |
dc.date.available | 2012-04-10T10:21:41Z | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 1350-7265 | - |
dc.identifier.uri | http://hdl.handle.net/2445/23393 | - |
dc.description.abstract | In this paper we study the asymptotic behaviour of power and multipower variations of processes Y : Yt = Z t 1 g(t s) sW (ds) +Zt | - |
dc.description.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 $g:(0,\infty)\rightarrow\mathbb{R}$ 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. | - |
dc.format.extent | 36 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | Bernoulli Society for Mathematical Statistics and Probability | - |
dc.relation.isformatof | Reproducció del document publicat a: http://dx.doi.org/10.3150/10-BEJ316 | - |
dc.relation.ispartof | Bernoulli, 2011, vol. 17, núm. 4, p. 1159-1194 | - |
dc.relation.uri | http://dx.doi.org/10.3150/10-BEJ316 | - |
dc.rights | (c) ISI/BS, International Statistical Institute, Bernoulli Society, 2011 | - |
dc.source | Articles publicats en revistes (Matemàtiques i Informàtica) | - |
dc.subject.classification | Processos de moviment brownià | cat |
dc.subject.classification | Teorema del límit central | cat |
dc.subject.classification | Processos gaussians | cat |
dc.subject.other | Brownian motion processes | eng |
dc.subject.other | Central limit theorem | eng |
dc.subject.other | Gaussian processes | eng |
dc.title | Multipower variation for Brownian semistationary processes | eng |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 586493 | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
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586493.pdf | 305.64 kB | Adobe PDF | View/Open |
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