Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions

DOI10.1051/PS/2021011zbMATH Open1478.60122arXiv1801.04143OpenAlexW3177239162MaRDI QIDQ5000394FDOQ5000394

Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij

Publication date: 13 July 2021

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: In this work we characterize the local asymptotic self-similarity of harmonizable fractional L'evy motions in the heavy tailed case. The corresponding tangent process is shown to be the harmonizable fractional stable motion. In addition, we provide sufficient conditions for existence of harmonizable fractional L'evy motions.

Full work available at URL: https://arxiv.org/abs/1801.04143

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zbMATH Keywords

fractional processesharmonizable processesspectral representationslocal asymptotic self-similarity

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (3)

• Local scaling limits of Lévy driven fractional random fields
• Non-ergodic statistics and spectral density estimation for stationary real harmonizable symmetric \(\alpha \)-stable processes
• Real harmonizable multifractional Lévy motions

Uses Software

• LASS

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