Limit theorems for power variations of ambit fields driven by white noise
File(s)1301.2107v4.pdf (596.74 KB)
Accepted version
Author(s)
Pakkanen, MS
Type
Journal Article
Abstract
We study the asymptotics of lattice power variations of two-parameter ambit fields driven by white noise. Our first result is a law of large numbers for power variations. Under a constraint on the memory of the ambit field, normalized power variations converge to certain integral functionals of the volatility field associated to the ambit field, when the lattice spacing tends to zero. This result holds also for thinned power variations that are computed by only including increments that are separated by gaps with a particular asymptotic behavior. Our second result is a stable central limit theorem for thinned power variations. © 2014 Elsevier B.V. All rights reserved.
Date Issued
2014-01-22
Date Acceptance
2014-01-15
Citation
Stochastic Processes and Their Applications, 2014, 124 (5), pp.1942-1973
ISSN
0304-4149
Publisher
Elsevier
Start Page
1942
End Page
1973
Journal / Book Title
Stochastic Processes and Their Applications
Volume
124
Issue
5
Copyright Statement
© 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publication Status
Published