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Multipower variation for Brownian semistationary processes
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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
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.
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.
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BARNDORFF-NIELSEN, O. E. (Ole E.), CORCUERA VALVERDE, José Manuel and PODOLSKIJ, Mark. Multipower variation for Brownian semistationary processes. Bernoulli. 2011. Vol. 17, num. 4, pags. 1159-1194. ISSN 1350-7265. [consulted: 4 of October of 2026]. Available at: https://hdl.handle.net/2445/23393