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

DOI10.1051/PS/2021011MaRDI QIDQ5000394zbMATH OpenOpenAlexFDO

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

Publication date 13 July 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(4)

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

Describes a project that uses

Uses Software

• LASS

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