Estimation of the linear fractional stable motion (Q98645)

The authors investigate 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 and is a natural analogue of the scaled fractional Brownian motion. It is characterised by the scale parameter \(\sigma,\) the self-similarity parameter \(H \in (0,1),\) and the stability index \(\alpha \in (0,2).\) They use power variation statistics and empirical characteristic functions to construct consistent estimators of the parameters of \(\sigma,\alpha\) and \(H.\) They study asymptotic distributions of these estimators. Some open problems are presented for further investigation.