Fractional Lévy processes with an application to long memory moving average processes

DOI10.3150/bj/1165269152zbMath1126.60038OpenAlexW2027012133MaRDI QIDQ2642806

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1165269152

zbMATH Keywords

long memory stochastic integration fractional Levy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (79)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages ⋮ Ambit Fields: Survey and New Challenges ⋮ Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Lévy driven moving averages and semimartingales ⋮ On the approximation of Lévy driven Volterra processes and their integrals ⋮ Integrating Volatility Clustering Into Exponential Lévy Models ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ On operator fractional Lévy motion: integral representations and time-reversibility ⋮ Stochastic delay differential equations and related autoregressive models ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Asymptotic behaviour of time averages for non-ergodic Gaussian processes ⋮ Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Functional regular variation of Lévy-driven multivariate mixed moving average processes ⋮ Properties of integrals with respect to fractional Poisson processes with compact kernels ⋮ A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process ⋮ Asymptotic Behaviour of the Distribution Density of the Fractional Lévy Motion ⋮ Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse ⋮ Self-similarity and Lamperti convergence for families of stochastic processes ⋮ A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages ⋮ Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Multivariate supOU processes ⋮ Fractional processes and their statistical inference: an overview ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ Finite variation of fractional Lévy processes ⋮ Distance covariance for discretized stochastic processes ⋮ Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes ⋮ Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations ⋮ Quasi Ornstein-Uhlenbeck processes ⋮ A white noise approach to stochastic partial differential equations driven by the fractional Lévy noise ⋮ Recent results in the theory and applications of CARMA processes ⋮ On some dependence structures for multidimensional Lévy driven moving averages ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes ⋮ Rotational invariance of stochastic processes with application to fractional dynamics ⋮ Normal convergence using Malliavin calculus with applications and examples ⋮ Fractional Lévy processes on Gel'fand triple and stochastic integration ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Path Properties of Dilatively Stable Processes and Singularity of Their Distributions ⋮ Multivariate fractionally integrated CARMA processes ⋮ Stochastic calculus for fractional Lévy processes ⋮ Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence ⋮ A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES ⋮ FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE ⋮ Multivariate stochastic delay differential equations and CAR representations of CARMA processes ⋮ Generalized fractional Lévy processes with fractional Brownian motion limit ⋮ Dilatively stable stochastic processes and aggregate similarity ⋮ Stochastic calculus for convoluted Lévy processes ⋮ The multifractal nature of Volterra-Lévy processes ⋮ Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ On non-stationary solutions to MSDDEs: representations and the cointegration space ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Kernel estimation for Lévy driven stochastic convolutions ⋮ A Law of Large Numbers for the Power Variation of Fractional Lévy Processes ⋮ An inverse problem for infinitely divisible moving average random fields ⋮ On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence ⋮ Well-balanced Lévy driven Ornstein–Uhlenbeck processes ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ Donsker type theorem for fractional Poisson process ⋮ Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models ⋮ Fractional Lévy Processes as a Result of Compact Interval Integral Transformation ⋮ Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions ⋮ Spectral representation of Gaussian semimartingales ⋮ High dimensional Markovian trading of a single stock ⋮ High-frequency sampling and kernel estimation for continuous-time moving average processes ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations ⋮ Dilatively semistable stochastic processes ⋮ A generalised Itō formula for Lévy-driven Volterra processes

Cites Work

This page was built for publication: Fractional Lévy processes with an application to long memory moving average processes