Estimation of the linear fractional stable motion

DOI10.48550/ARXIV.1802.06373MaRDI QIDQ98645zbMATHFDO

Authors Stepan Mazur, Dmitry Otryakhin, Mark Podolskij, 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 processeslinear fractional stable processparametric estimation

Mathematics Subject Classification ID

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

Abstract: In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural non-Gaussian analogue of the scaled fractional Brownian motion. It is fully characterised by the scaling parameter $sigma>0$, the self-similarity parameter $Hin(0,1)$ and the stability index $alphain(0,2)$ of the driving stable motion. The parametric estimation of the model is inspired by the limit theory for stationary increments L'evy moving average processes that has been recently studied in cite{BLP}. More specifically, we combine (negative) power variation statistics and empirical characteristic functions to obtain consistent estimates of $(sigma,alpha,H)$. We present the law of large numbers and some fully feasible weak limit theorems.

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Cited in

(20)

• Some notes on fractional parameters of fractional stable processes
• Linear fractional stable motion: A wavelet estimator of the \(\alpha\) parameter
• Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Estimation of mixed fractional stable processes using high-frequency data
• Power variations for fractional type infinitely divisible random fields
• scientific article; zbMATH DE number 4133237 (Why is no real title available?)
• One-step estimation for the fractional Gaussian noise at high-frequency
• Indicator fractional stable motions
• Estimation of the self-similarity parameter in linear fractional stable motion.
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Estimation of the linear fractional stable motion
• Multidimensional parameter estimation of heavy-tailed moving averages
• Multi-dimensional normal approximation of heavy-tailed moving averages
• rlfsm
• Estimation of the multifractional function and the stability index of linear multifractional stable processes
• A minimal contrast estimator for the linear fractional stable motion
• Estimation of parameters of fractional stable distributions
• On limit theory for functionals of stationary increments Lévy driven moving averages

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