Estimation of the linear fractional stable motion

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

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

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 processes; parametric estimation; linear fractional stable process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

62M09: Non-Markovian processes: estimation

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