On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence

DOI10.1016/j.jspi.2019.02.001zbMath1432.60051arXiv1804.02254OpenAlexW2963345734MaRDI QIDQ2317312

Dirk-Philip Brandes, Imma Valentina Curato

Publication date: 9 August 2019

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.02254

zbMATH Keywords

Ornstein-Uhlenbeck processcentral limit theoremLévy processsample autocorrelationcontinuous time moving average processrenewal sampling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Sampling theory, sample surveys (62D05) Stationary stochastic processes (60G10)

Related Items (3)

Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages ⋮ Inheritance of strong mixing and weak dependence under renewal sampling ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes

Cites Work

• A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
• On \(\rho\)-mixing except on small sets
• Spectral representations of infinitely divisible processes
• The asymptotic distribution of serial covariances
• On roughness indices for fractional fields
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Fractional Lévy processes with an application to long memory moving average processes
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