Multilinear forms in Pareto-like random variables and product random measures

DOI10.4064/CM-51-1-303-313MaRDI QIDQ3787196zbMATH OpenOpenAlexFDO

Authors Jan Rosiński, Wojbor A. Woyczyński

Publication date 1987

Published in Colloquium Mathematicum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/cm-51-1-303-313

zbMATH Keywords

multiple stochastic integralinfinitely divisible random measureproduct random measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Quadratic and bilinear forms, inner products (15A63) General harmonic expansions, frames (42C15) Sequence spaces (including Köthe sequence spaces) (46A45)

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(8)

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• On the multiple stable integral
• The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables
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• The integrated periodogram for long-memory processes with finite or infinite variance
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• Gaussian limit fields for the integrated periodogram
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

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