Search Results - subject:"Stable Convergence"

Limit theorems for functionals of higher order differences of Brownian semi-stationary processes

Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; … - School of Economics and Management, University of Aarhus - 2009

We present some new asymptotic results for functionals of higher order differences of Brownian semi-stationary processes. In an earlier work [4] we have derived a similar asymptotic theory for first order differences. However, the central limit theorems were valid only for certain values of the...

Persistent link: https://www.econbiz.de/10008556267

Understanding limit theorems for semimartingales: a short survey

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2009

stable convergence, which is crucial for our purpose. We show some laws of large numbers (for the continuous and the … aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence … observations, semimartingale, stable convergence. JEL Classi cation: C10, C13, C14. 1 Introduction In the last decade there has …

Persistent link: https://www.econbiz.de/10008479245

Central Limit Theorems For Multicolor Urns With Dominated Colors

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - Dipartimento di Scienze Economiche e Aziendali, … - 2009

An urn contains balls of d = 2 colors. At each time n = 1, a ball is drawn and then replaced together with a random number of balls of the same color. Let An =diag (An,1, . . . ,An,d) be the n-th reinforce matrix. Assuming EAn,j = EAn,1 for all n and j, a few CLT’s are available for such urns....

Persistent link: https://www.econbiz.de/10009651008

Rate of Convergence of Predictive Distributions for Dependent Data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - Dipartimento di Scienze Economiche e Aziendali, … - 2009

This paper deals with empirical processes of the type Cn(B) = n^(1/2) {µn(B) - P(Xn+1 in B | X1, . . . ,Xn)} , where (Xn) is a sequence of random variables and µn = (1/n)SUM(i=1,..,n) d(Xi) the empirical measure. Conditions for supB|Cn(B)| to converge stably (in particular, in distribution)...

Persistent link: https://www.econbiz.de/10009651795

Rate of convergence of predictive distributions for dependent data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

Persistent link: https://www.econbiz.de/10010259915

Central Limit Theorems For Multicolor Urns With Dominated Colors

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

Persistent link: https://www.econbiz.de/10010343908

On non-standard limits of Brownian semi-stationary processes

Gärtner, Kerstin; Podolskij, Mark - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 653-677

In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...

Persistent link: https://www.econbiz.de/10011194111

High-frequency asymptotics for path-dependent functionals of Itô semimartingales

Duembgen, Moritz; Podolskij, Mark - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1195-1217

The estimation of local characteristics of Itô semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and ranges in the infill asymptotics setting. In this paper we...

Persistent link: https://www.econbiz.de/10011194136

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

Persistent link: https://www.econbiz.de/10011378591

Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Jacod, Jean; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which are observed at high frequency. Our method generalizes the pre-averaging approach (see [13],[11]) and provides consistent estimates for various characteristics of general...

Persistent link: https://www.econbiz.de/10005440042