Imperial College London
Alternate

ProfessorAlmutVeraart

Faculty of Natural Sciences, Department of Mathematics

Head of the Statistics Section, Professor of Statistics
 
 
 
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Contact

 

+44 (0)20 7594 8545a.veraart Website

 
 
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Location

 

551Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Passeggeri:2019:10.1017/apr.2019.30,
author = {Passeggeri, R and Veraart, A},
doi = {10.1017/apr.2019.30},
journal = {Advances in Applied Probability},
pages = {667--716},
title = {Limit theorems for multivariate Brownian semistationary processes and feasible results},
url = {http://dx.doi.org/10.1017/apr.2019.30},
volume = {51},
year = {2019}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Passeggeri,R
AU  - Veraart,A
DO  - 10.1017/apr.2019.30
EP  - 716
PY  - 2019///
SN  - 0001-8678
SP  - 667
TI  - Limit theorems for multivariate Brownian semistationary processes and feasible results
T2  - Advances in Applied Probability
UR  - http://dx.doi.org/10.1017/apr.2019.30
UR  - http://hdl.handle.net/10044/1/68678
VL  - 51
ER  -
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