scholarly journals Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts

2021 ◽  
Author(s):  
Giulia Livieri ◽  
Maria Elvira Mancino ◽  
Stefano Marmi ◽  
Giacomo Toscano
Keyword(s):  
Time Series ◽  
Fourier Transform ◽  
Empirical Study ◽  
Central Limit ◽  
Limit Theorems ◽  
Central Limit Theorems ◽  
Stylized Facts ◽  
Daily Time Series ◽  
The Fourier Transform ◽  
Daily Time

scholarly journals Central limit theorems for sequential and random intermittent dynamical systems

2016 ◽  
Vol 38 (3) ◽  
pp. 1127-1153 ◽  
Author(s):  
MATTHEW NICOL ◽  
ANDREW TÖRÖK ◽  
SANDRO VAIENTI
Keyword(s):  
Time Series ◽  
Fixed Point ◽  
Dynamical Systems ◽  
Central Limit ◽  
Limit Theorems ◽  
Central Limit Theorems ◽  
Stationary Time Series ◽  
Stationary Time

We establish self-norming central limit theorems for non-stationary time series arising as observations on sequential maps possessing an indifferent fixed point. These transformations are obtained by perturbing the slope in the Pomeau–Manneville map. We also obtain quenched central limit theorems for random compositions of these maps.

scholarly journals Pressure Function and Limit Theorems for Almost Anosov Flows

2021 ◽  
Vol 382 (1) ◽  
pp. 1-47
Author(s):  
Henk Bruin ◽  
Dalia Terhesiu ◽  
Mike Todd
Keyword(s):  
Thermodynamic Properties ◽  
Central Limit ◽  
Limit Theorems ◽  
Central Limit Theorems ◽  
Stable Laws ◽  
Analytic Framework ◽  
Pressure Function ◽  
Hyperbolic Flows ◽  
Anosov Flows ◽  
Almost Anosov

AbstractWe obtain limit theorems (Stable Laws and Central Limit Theorems, both standard and non-standard) and thermodynamic properties for a class of non-uniformly hyperbolic flows: almost Anosov flows, constructed here. The link between the pressure function and limit theorems is studied in an abstract functional analytic framework, which may be applicable to other classes of non-uniformly hyperbolic flows.

Homogenization of daily time series climatological data in the Eastern Nile basin, Ethiopia

2020 ◽  
Vol 143 (1-2) ◽  
pp. 737-760
Author(s):  
Sadame M. Yimer ◽  
Navneet Kumar ◽  
Abderrazak Bouanani ◽  
Bernhard Tischbein ◽  
Christian Borgemeister
Keyword(s):  
Time Series ◽  
Nile Basin ◽  
Climatological Data ◽  
Daily Time Series ◽  
Daily Time
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