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Asymptotic theory for Brownian semi-stationary processes with application to turbulence

Author

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  • Corcuera, José Manuel
  • Hedevang, Emil
  • Pakkanen, Mikko S.
  • Podolskij, Mark

Abstract

This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of the BSS model. We review the limit theory discussed by Barndorff-Nielsen et al. (2011) [4] and Barndorff-Nielsen (2012) [5] and present some new connections to fractional diffusion models. We apply our probabilistic results to construct a family of estimators for the smoothness parameter of the BSS process. In this context we develop estimates with gaps, which allow to obtain a valid central limit theorem for the critical region. Finally, we apply our statistical theory to turbulence data.

Suggested Citation

  • Corcuera, José Manuel & Hedevang, Emil & Pakkanen, Mikko S. & Podolskij, Mark, 2013. "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2552-2574.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:7:p:2552-2574
    DOI: 10.1016/j.spa.2013.03.011
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    References listed on IDEAS

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    1. Yuri Kabanov & Robert Liptser, 2006. "From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift," Post-Print hal-00488295, HAL.
    2. Gabriel Lang & François Roueff, 2001. "Semi-parametric Estimation of the Hölder Exponent of a Stationary Gaussian Process with Minimax Rates," Statistical Inference for Stochastic Processes, Springer, vol. 4(3), pages 283-306, October.
    3. Mark Podolskij & Mathias Vetter, 2010. "Understanding limit theorems for semimartingales: a short survey," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 329-351.
    4. Jacod, Jean, 2008. "Asymptotic properties of realized power variations and related functionals of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 517-559, April.
    5. Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
    6. Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009. "Power variation for Gaussian processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1845-1865, June.
    7. Mark Podolskij & Mathias Vetter, 2010. "Understanding limit theorems for semimartingales: a short survey," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 329-351, August.
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    Citations

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    Cited by:

    1. Bennedsen, Mikkel, 2017. "A rough multi-factor model of electricity spot prices," Energy Economics, Elsevier, vol. 63(C), pages 301-313.
    2. Mikko S. Pakkanen & Anthony Réveillac, 2014. "Functional limit theorems for generalized variations of the fractional Brownian sheet," CREATES Research Papers 2014-14, Department of Economics and Business Economics, Aarhus University.
    3. Sauri, Orimar & Veraart, Almut E.D., 2017. "On the class of distributions of subordinated Lévy processes and bases," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 475-496.
    4. Kerstin Gärtner & Mark Podolskij, 2014. "On non-standard limits of Brownian semi-stationary," CREATES Research Papers 2014-50, Department of Economics and Business Economics, Aarhus University.
    5. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
    6. Li, Yuan & Pakkanen, Mikko S. & Veraart, Almut E.D., 2023. "Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 202-231.
    7. Gärtner, Kerstin & Podolskij, Mark, 2015. "On non-standard limits of Brownian semi-stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 653-677.
    8. Benth, Fred Espen & Schroers, Dennis & Veraart, Almut E.D., 2022. "A weak law of large numbers for realised covariation in a Hilbert space setting," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 241-268.
    9. Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," CREATES Research Papers 2016-15, Department of Economics and Business Economics, Aarhus University.
    10. Sauri, Orimar, 2020. "On the divergence and vorticity of vector ambit fields," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6184-6225.
    11. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Hybrid scheme for Brownian semistationary processes," Finance and Stochastics, Springer, vol. 21(4), pages 931-965, October.
    12. Mark Podolskij & Nopporn Thamrongrat, 2015. "A weak limit theorem for numerical approximation of Brownian semi-stationary processes," CREATES Research Papers 2015-53, Department of Economics and Business Economics, Aarhus University.
    13. Ole E. Barndorff-Nielsen & Mikko S. Pakkanen & Jürgen Schmiegel, 2013. "Assessing Relative Volatility/Intermittency/Energy Dissipation," CREATES Research Papers 2013-15, Department of Economics and Business Economics, Aarhus University.
    14. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2015. "Hybrid scheme for Brownian semistationary processes," Papers 1507.03004, arXiv.org, revised May 2017.
    15. Ole E. Barndorff-Nielsen, 2016. "Assessing Gamma kernels and BSS/LSS processes," CREATES Research Papers 2016-09, Department of Economics and Business Economics, Aarhus University.
    16. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
    17. Pakkanen, Mikko S., 2014. "Limit theorems for power variations of ambit fields driven by white noise," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1942-1973.
    18. Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," Papers 1605.00868, arXiv.org, revised Oct 2017.
    19. Mark Podolskij, 2014. "Ambit fields: survey and new challenges," CREATES Research Papers 2014-51, Department of Economics and Business Economics, Aarhus University.
    20. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2014. "Discretization of Lévy semistationary processes with application to estimation," CREATES Research Papers 2014-21, Department of Economics and Business Economics, Aarhus University.
    21. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.

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