An estimation of the stability and the localisability functions of multistable processes

DOI10.1214/13-EJS797zbMath1337.62236arXiv1005.1519OpenAlexW2167106902MaRDI QIDQ1951150

Ronan Le Guével

Publication date: 29 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.1519

zbMATH Keywords

\(L^{p}\) consistencyFerguson-Klass-LePage representationmultistable Lévy motionmultistable multifractional processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (6)

Goodness-of-fit test for multistable Lévy processes ⋮ Estimation of the multifractional function and the stability index of linear multifractional stable processes ⋮ Unnamed Item ⋮ Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters ⋮ Explicit and combined estimators for parameters of stable distributions ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

Uses Software

• PhysioToolkit

Cites Work

• On series representations of infinitely divisible random vectors
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• THE LOCAL STRUCTURE OF RANDOM PROCESSES
• Incremental moments and Hölder exponents of multifractional multistable processes
• A Representation of Independent Increment Processes without Gaussian Components
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Lévy-LePage series representation of stable vectors: convergence in variation
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