BIPOWER VARIATION FOR GAUSSIAN PROCESSES WITH STATIONARY INCREMENTS

被引：23

作者：

Barndorff-Nielsen, Ole E. ^{[1
]}

Manuel Corcuera, Jose ^{[2
]}

Podolskij, Mark

Woerner, Jeannette H. C. ^{[3
]}

机构：

[1] Univ Aarhus, Dept Math Sci, DK-8000 Aarhus C, Denmark

[2] Univ Barcelona, E-08007 Barcelona, Spain

[3] Univ Gottingen, Inst Math Stochast, D-37073 Gottingen, Germany

来源：

JOURNAL OF APPLIED PROBABILITY | 2009年 / 46卷 / 01期

基金：

新加坡国家研究基金会;

关键词：

Bipower variation; central limit theorem; chaos expansion; Gaussian process; multiple Wiener-Ito integrals; STOCHASTIC VOLATILITY MODELS; CENTRAL LIMIT-THEOREMS; ECONOMETRIC-ANALYSIS; POWER VARIATION; INTEGRALS; TIME; JUMPS;

D O I：

10.1239/jap/1238592121

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Ito/Malliavin calculus for establishing limit laws, due to Nualart, Peccati, and others.

引用

页码：132 / 150

页数：19

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