Assessing relative volatility/intermittency/energy dissipation

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.
OriginalsprogEngelsk
TidsskriftElectronic Journal of Statistics
Vol/bind8
Nummer2
Sider (fra-til)1996-2021
Antal sider26
ISSN1935-7524
DOI
StatusUdgivet - 2014

Se relationer på Aarhus Universitet Citationsformater

ID: 81523107