Asymptotic properties of power variations of Lévy processes
Jean Jacod (2007)
ESAIM: Probability and Statistics
Similarity:
We determine the asymptotic behavior of the realized power variations, and more generally of sums of a given function evaluated at the increments of a Lévy process between the successive times Δ for = 0,1,...,. One can elucidate completely the first order behavior, that is the convergence in probability of such sums, possibly after normalization and/or centering: it turns out that there is a rather wide variety of possible behaviors, depending on the structure of jumps and on the...