Assessing relative volatility/ intermittency/energy dissipation

DOI10.1214/14-EJS942zbMath1302.60115arXiv1304.6683OpenAlexW1967727656MaRDI QIDQ470490

Jürgen Schmiegel, Mikko S. Pakkanen, Ole Eiler Barndorff-Nielsen

Publication date: 12 November 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.6683

zbMATH Keywords

turbulenceenergy dissipationvolatilityintermittencypower variationBrownian semistationary process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Statistical turbulence modeling (76F55) Generalizations of martingales (60G48) Meteorology and atmospheric physics (86A10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Ambit Fields: Survey and New Challenges, Large and moderate deviations for stochastic Volterra systems, Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields, Limit theorems for power variations of ambit fields driven by white noise, The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes, High-frequency analysis of parabolic stochastic PDEs, On limit theory for Lévy semi-stationary processes, Hybrid scheme for Brownian semistationary processes, The local fractional bootstrap, Limit theorems for multivariate Brownian semistationary processes and feasible results, Some Recent Developments in Ambit Stochastics, Gamma Kernels and BSS/LSS Processes, Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

Uses Software

• YUIMA

Cites Work

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