Second-order properties of thresholded realized power variations of FJA additive processes

Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Figueroa-López, José E. [verfasserIn] Nisen, Jeffrey [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2019

Schlagwörter:	Truncated realized variations Multipower realized variations Integrated variance estimation Jump features estimation Lévy processes Additive processes Nonparametric estimation

Übergeordnetes Werk:	Enthalten in: Statistical inference for stochastic processes - Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998, 22(2019), 3 vom: 04. Apr., Seite 431-474
Übergeordnetes Werk:	volume:22 ; year:2019 ; number:3 ; day:04 ; month:04 ; pages:431-474

Links:	Volltext

DOI / URN:	10.1007/s11203-019-09198-w

Katalog-ID:	SPR017695953

Internformat


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520			\|a Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies.
650		4	\|a Truncated realized variations \|7 (dpeaa)DE-He213
650		4	\|a Multipower realized variations \|7 (dpeaa)DE-He213
650		4	\|a Integrated variance estimation \|7 (dpeaa)DE-He213
650		4	\|a Jump features estimation \|7 (dpeaa)DE-He213
650		4	\|a Lévy processes \|7 (dpeaa)DE-He213
650		4	\|a Additive processes \|7 (dpeaa)DE-He213
650		4	\|a Nonparametric estimation \|7 (dpeaa)DE-He213
700	1		\|a Nisen, Jeffrey \|e verfasserin \|4 aut
773	0	8	\|i Enthalten in \|t Statistical inference for stochastic processes \|d Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 \|g 22(2019), 3 vom: 04. Apr., Seite 431-474 \|w (DE-627)315298596 \|w (DE-600)2012788-1 \|x 1572-9311 \|7 nnns
773	1	8	\|g volume:22 \|g year:2019 \|g number:3 \|g day:04 \|g month:04 \|g pages:431-474
856	4	0	\|u https://dx.doi.org/10.1007/s11203-019-09198-w \|z lizenzpflichtig \|3 Volltext
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allfields	10.1007/s11203-019-09198-w doi (DE-627)SPR017695953 (SPR)s11203-019-09198-w-e DE-627 ger DE-627 rakwb eng 510 ASE 31.73 bkl Figueroa-López, José E. verfasserin aut Second-order properties of thresholded realized power variations of FJA additive processes 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies. Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213 Nisen, Jeffrey verfasserin aut Enthalten in Statistical inference for stochastic processes Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 22(2019), 3 vom: 04. Apr., Seite 431-474 (DE-627)315298596 (DE-600)2012788-1 1572-9311 nnns volume:22 year:2019 number:3 day:04 month:04 pages:431-474 https://dx.doi.org/10.1007/s11203-019-09198-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 22 2019 3 04 04 431-474
spelling	10.1007/s11203-019-09198-w doi (DE-627)SPR017695953 (SPR)s11203-019-09198-w-e DE-627 ger DE-627 rakwb eng 510 ASE 31.73 bkl Figueroa-López, José E. verfasserin aut Second-order properties of thresholded realized power variations of FJA additive processes 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies. Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213 Nisen, Jeffrey verfasserin aut Enthalten in Statistical inference for stochastic processes Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 22(2019), 3 vom: 04. Apr., Seite 431-474 (DE-627)315298596 (DE-600)2012788-1 1572-9311 nnns volume:22 year:2019 number:3 day:04 month:04 pages:431-474 https://dx.doi.org/10.1007/s11203-019-09198-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 22 2019 3 04 04 431-474
allfields_unstemmed	10.1007/s11203-019-09198-w doi (DE-627)SPR017695953 (SPR)s11203-019-09198-w-e DE-627 ger DE-627 rakwb eng 510 ASE 31.73 bkl Figueroa-López, José E. verfasserin aut Second-order properties of thresholded realized power variations of FJA additive processes 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies. Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213 Nisen, Jeffrey verfasserin aut Enthalten in Statistical inference for stochastic processes Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 22(2019), 3 vom: 04. Apr., Seite 431-474 (DE-627)315298596 (DE-600)2012788-1 1572-9311 nnns volume:22 year:2019 number:3 day:04 month:04 pages:431-474 https://dx.doi.org/10.1007/s11203-019-09198-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 22 2019 3 04 04 431-474
allfieldsGer	10.1007/s11203-019-09198-w doi (DE-627)SPR017695953 (SPR)s11203-019-09198-w-e DE-627 ger DE-627 rakwb eng 510 ASE 31.73 bkl Figueroa-López, José E. verfasserin aut Second-order properties of thresholded realized power variations of FJA additive processes 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies. Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213 Nisen, Jeffrey verfasserin aut Enthalten in Statistical inference for stochastic processes Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 22(2019), 3 vom: 04. Apr., Seite 431-474 (DE-627)315298596 (DE-600)2012788-1 1572-9311 nnns volume:22 year:2019 number:3 day:04 month:04 pages:431-474 https://dx.doi.org/10.1007/s11203-019-09198-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 22 2019 3 04 04 431-474
allfieldsSound	10.1007/s11203-019-09198-w doi (DE-627)SPR017695953 (SPR)s11203-019-09198-w-e DE-627 ger DE-627 rakwb eng 510 ASE 31.73 bkl Figueroa-López, José E. verfasserin aut Second-order properties of thresholded realized power variations of FJA additive processes 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies. Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213 Nisen, Jeffrey verfasserin aut Enthalten in Statistical inference for stochastic processes Dordrecht [u.a.] : Springer Science + Business Media B.V, 1998 22(2019), 3 vom: 04. Apr., Seite 431-474 (DE-627)315298596 (DE-600)2012788-1 1572-9311 nnns volume:22 year:2019 number:3 day:04 month:04 pages:431-474 https://dx.doi.org/10.1007/s11203-019-09198-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 22 2019 3 04 04 431-474
language	English
source	Enthalten in Statistical inference for stochastic processes 22(2019), 3 vom: 04. Apr., Seite 431-474 volume:22 year:2019 number:3 day:04 month:04 pages:431-474
sourceStr	Enthalten in Statistical inference for stochastic processes 22(2019), 3 vom: 04. Apr., Seite 431-474 volume:22 year:2019 number:3 day:04 month:04 pages:431-474
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Truncated realized variations Multipower realized variations Integrated variance estimation Jump features estimation Lévy processes Additive processes Nonparametric estimation
dewey-raw	510
isfreeaccess_bool	false
container_title	Statistical inference for stochastic processes
authorswithroles_txt_mv	Figueroa-López, José E. @@aut@@ Nisen, Jeffrey @@aut@@
publishDateDaySort_date	2019-04-04T00:00:00Z
hierarchy_top_id	315298596
dewey-sort	3510
id	SPR017695953
language_de	englisch
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author	Figueroa-López, José E.
spellingShingle	Figueroa-López, José E. ddc 510 bkl 31.73 misc Truncated realized variations misc Multipower realized variations misc Integrated variance estimation misc Jump features estimation misc Lévy processes misc Additive processes misc Nonparametric estimation Second-order properties of thresholded realized power variations of FJA additive processes
authorStr	Figueroa-López, José E.
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topic_title	510 ASE 31.73 bkl Second-order properties of thresholded realized power variations of FJA additive processes Truncated realized variations (dpeaa)DE-He213 Multipower realized variations (dpeaa)DE-He213 Integrated variance estimation (dpeaa)DE-He213 Jump features estimation (dpeaa)DE-He213 Lévy processes (dpeaa)DE-He213 Additive processes (dpeaa)DE-He213 Nonparametric estimation (dpeaa)DE-He213
topic	ddc 510 bkl 31.73 misc Truncated realized variations misc Multipower realized variations misc Integrated variance estimation misc Jump features estimation misc Lévy processes misc Additive processes misc Nonparametric estimation
topic_unstemmed	ddc 510 bkl 31.73 misc Truncated realized variations misc Multipower realized variations misc Integrated variance estimation misc Jump features estimation misc Lévy processes misc Additive processes misc Nonparametric estimation
topic_browse	ddc 510 bkl 31.73 misc Truncated realized variations misc Multipower realized variations misc Integrated variance estimation misc Jump features estimation misc Lévy processes misc Additive processes misc Nonparametric estimation
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title	Second-order properties of thresholded realized power variations of FJA additive processes
ctrlnum	(DE-627)SPR017695953 (SPR)s11203-019-09198-w-e
title_full	Second-order properties of thresholded realized power variations of FJA additive processes
author_sort	Figueroa-López, José E.
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title_sort	second-order properties of thresholded realized power variations of fja additive processes
title_auth	Second-order properties of thresholded realized power variations of FJA additive processes
abstract	Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies.
abstractGer	Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies.
abstract_unstemmed	Abstract For a class of additive processes of finite jump activity (FJA), we give precise conditions for the mean-squared consistency and feasible Central Limit Theorems of thresholded realized power variation estimators (TRV). To justify that the proposed conditions are the “best possible”, we also show that these are necessary for FJA Lévy processes. Non-asymptotic upper bounds and asymptotic decompositions of the mean-squared errors of our estimators are also provided. For comparison purposes, we also obtain the analogous asymptotic decomposition for a general multi-power realized variation (MPV). These results theoretically justify the relatively large bias of MPV (when compared to TRV) observed numerically in earlier Monte Carlo studies.
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container_issue	3
title_short	Second-order properties of thresholded realized power variations of FJA additive processes
url	https://dx.doi.org/10.1007/s11203-019-09198-w
remote_bool	true
author2	Nisen, Jeffrey
author2Str	Nisen, Jeffrey
ppnlink	315298596
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hochschulschrift_bool	false
doi_str	10.1007/s11203-019-09198-w
up_date	2024-07-03T14:34:22.860Z
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Second-order properties of thresholded realized power variations of FJA additive processes

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