A minimal contrast estimator for the linear fractional stable motion (Q2194054)

The authors study the linear fractional stable motion with three-dimensional parameters $(\sigma,\alpha,H)$, where $H$ represents the self-similarity parameter and $(\sigma,\alpha)$ are the scaling and stability parameters of the driving symmetric Lévy process $L$. In this paper, an estimator of this process is established. The main result investigates the strong consistency and weak limit theorems for the resulting estimator. Several ideas were used before in the papers: [the authors, Springer Proc. Math. Stat. 294, 41--56 (2019; Zbl 1434.62031)] and [\textit{S. Mazur} et al., Bernoulli 26, No. 1, 226--252 (2020; Zbl 1453.60088)], in which the parameter estimation for the linear fractional stable motion and related Lévy moving average processes were studied.