Linear fractional stable motion: A wavelet estimator of the parameter

DOI10.1016/J.SPL.2012.04.005MaRDI QIDQ449019zbMATH OpenOpenAlexFDO

Authors Antoine Ayache, Julien Hamonier

Publication date 11 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.1674

zbMATH Keywords

statistical inferencewavelet coefficientsstable stochastic processesHölder regularity

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22)

Abstract: Linear fractional stable motion, denoted by ${X_{H,al}(t)}_{tinR}$, is one of the most classical stable processes; it depends on two parameters $Hin(0,1)$ and $alin(0,2)$. The parameter $H$ characterizes the self-similarity property of ${X_{H,al}(t)}_{tinR}$ while the parameter $al$ governs the tail heaviness of its finite dimensional distributions; throughout our article we assume that the latter distributions are symmetric, that $H>1/al$ and that $H$ is known. We show that, on the interval $[0,1]$, the asymptotic behaviour of the maximum, at a given scale $j$, of absolute values of the wavelet coefficients of ${X_{H,al}(t)}_{tinR}$, is of the same order as $2^{-j(H-1/al)}$; then we derive from this result a strongly consistent (i.e. almost surely convergent) statistical estimator for the parameter $al$.

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
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Cited in

(12)

• Some notes on fractional parameters of fractional stable processes
• Estimation of the self-similarity parameter in linear fractional stable motion.
• A minimal contrast estimator for the linear fractional stable motion
• Linear multifractional stable motion: fine path properties
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Estimation of mixed fractional stable processes using high-frequency data
• Power variations for fractional type infinitely divisible random fields
• Series representation of jointly S S distribution via symmetric covariations
• Stochastic integral representation and properties of the wavelet coefficients of linear fractional stable motion
• Estimation of the linear fractional stable motion
• Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters
• On limit theory for functionals of stationary increments Lévy driven moving averages

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