A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process

DOI10.1016/j.jspi.2013.03.022zbMath1278.62140arXiv1206.3094OpenAlexW1969123374MaRDI QIDQ389248

Serge Cohen, Alexander M. Lindner

Publication date: 20 January 2014

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

Full work available at URL: https://arxiv.org/abs/1206.3094

zbMATH Keywords

limit theoremsLévy processsample meansample autocovarianceBartlett's formulaestimation of the Hurst indexfractional Lévy process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (12)

Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages ⋮ A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages ⋮ Model verification for Lévy-driven Ornstein-Uhlenbeck processes ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ Low-frequency estimation of continuous-time moving average Lévy processes ⋮ Weak convergence for a class of stochastic fractional equations driven by fractional noise ⋮ Unnamed Item ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes ⋮ Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization ⋮ On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications

Cites Work

• Stein's method and normal approximation of Poisson functionals
• Recent advances in invariance principles for stationary sequences
• Central limit theorems for double Poisson integrals
• Time series: theory and methods
• 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
• Asymptotics for Autocovariances and Integrated Periodograms for Linear Processes Observed at Lower Frequencies
• Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
• An introduction to frames and Riesz bases
• Unnamed Item
• Unnamed Item

This page was built for publication: A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process