Modified weighted power variations of the Hermite process and applications to integrated volatility
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
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2026
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| _version_ | 1866917184481001472 |
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| author | Ayache, Antoine Loosveldt, laurent Tudor, Ciprian |
| author_facet | Ayache, Antoine Loosveldt, laurent Tudor, Ciprian |
| contents | We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish a central limit theorem for weighted $p$-variations using tools from Stein-Malliavin calculus. Our results extend previous works on modified quadratic and wavelet-based variations to general powers and to weighted settings, with explicit bounds in Wasserstein distance. We further apply these limit theorems to construct asymptotically Gaussian estimators of integrated volatility in Hermite-driven models, thereby extending fBm-based methods to non-Gaussian settings. The last part of our work contains numerical simulations which illustrate the practical performance of the proposed estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_02025 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Modified weighted power variations of the Hermite process and applications to integrated volatility Ayache, Antoine Loosveldt, laurent Tudor, Ciprian Statistics Theory Probability 60G18, 60H05, 60H07, 62F12, 62G15, 60F05 We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish a central limit theorem for weighted $p$-variations using tools from Stein-Malliavin calculus. Our results extend previous works on modified quadratic and wavelet-based variations to general powers and to weighted settings, with explicit bounds in Wasserstein distance. We further apply these limit theorems to construct asymptotically Gaussian estimators of integrated volatility in Hermite-driven models, thereby extending fBm-based methods to non-Gaussian settings. The last part of our work contains numerical simulations which illustrate the practical performance of the proposed estimators. |
| title | Modified weighted power variations of the Hermite process and applications to integrated volatility |
| topic | Statistics Theory Probability 60G18, 60H05, 60H07, 62F12, 62G15, 60F05 |
| url | https://arxiv.org/abs/2601.02025 |