Publication:98645

DOI10.48550/arXiv.1802.06373zbMath1453.60088arXiv1802.06373MaRDI QIDQ98645

Mark Podolskij, Stepan Mazur, Dmitry Otryakhin, Stepan Mazur, Dmitry Otryakhin, Mark Podolskij

Publication date: 18 February 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06373

zbMATH Keywords

fractional processesparametric estimationlinear fractional stable process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items

A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages, A minimal contrast estimator for the linear fractional stable motion, Estimation of the multifractional function and the stability index of linear multifractional stable processes, Estimation of mixed fractional stable processes using high-frequency data, One-step estimation for the fractional Gaussian noise at high-frequency, Estimation of the linear fractional stable motion, rlfsm, On limit theory for functionals of stationary increments Lévy driven moving averages, Power variations for fractional type infinitely divisible random fields, Multi-dimensional normal approximation of heavy-tailed moving averages

Cites Work

• Estimation of the linear fractional stable motion
• Finite variation of fractional Lévy processes
• Linear fractional stable motion: A wavelet estimator of the \(\alpha\) parameter
• Estimation of the global regularity of a multifractional Brownian motion
• Power variation for a class of stationary increments Lévy driven moving averages
• Two classes of self-similar stable processes with stationary increments
• Efficient parameter estimation for self-similar processes
• Volatility estimators for discretely sampled Lévy processes
• Stochastic calculus for convoluted Lévy processes
• Ergodic properties of stationary stable processes
• Spectral representations of infinitely divisible processes
• A bivariate stable characterization and domains of attraction
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages
• Estimation of the Hurst and the stability indices of a \(H\)-self-similar stable process
• On roughness indices for fractional fields
• Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
• Estimation of the self-similarity parameter in linear fractional stable motion.
• The structure of self-similar stable mixed moving averages
• On the structure of stationary stable processes
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
• How rich is the class of multifractional Brownian motions?
• Null flows, positive flows and the structure of stationary symmetric stable processes
• Fractional Brownian Motions, Fractional Noises and Applications
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Cramèr-Rao bounds for fractional Brownian motions