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math.ST2022
Nonparametric estimation of trawl processes: Theory and applications
Orimar Sauri, Almut E. D. Veraart
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets.…
math.ST2022
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential…