Limit theorems for multivariate Brownian semistationary processes and feasible results

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Title: Limit theorems for multivariate Brownian semistationary processes and feasible results
Authors: Passeggeri, R
Veraart, A
Item Type: Journal Article
Abstract: In this paper we introduce the multivariate Brownian semistationary (BSS) process and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for general multivariate Gaussian processes with stationary increments, which are not necessarily semimartingales. Then, we show weak laws of large numbers, central limit theorems and feasible results for BSS processes. An explicit example based on the so-called gamma kernels is also provided.
Date of Acceptance: 3-Apr-2019
URI: http://hdl.handle.net/10044/1/68678
ISSN: 0001-8678
Publisher: Cambridge University Press
Journal / Book Title: Advances in Applied Probability
Copyright Statement: This paper is embargoed until 6 months after publication.
Keywords: 0102 Applied Mathematics
0104 Statistics
Statistics & Probability
Publication Status: Accepted
Embargo Date: Embargoed for 6 months after publication date
Appears in Collections:Mathematics
Statistics



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