Limit theorems for the sample mean and sample autocovariances of continuous time moving averages driven by heavy-tailed Lévy noise
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Cites work
- A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
- Additive processes and stochastic integrals
- Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
- Estimation of stable CARMA models with an application to electricity spot prices
- Extremes of regularly varying Lévy-driven mixed moving average processes
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- scientific article; zbMATH DE number 3866301 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Minimal conditions in \(p\)-stable limit theorems
- Minimal conditions in p-stable limit theorems. II
- On regular variation for infinitely divisible random vectors and additive processes
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Spectral representations of infinitely divisible processes
- Stable limits for sums of dependent infinite variance random variables
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Subexponentiality and infinite divisibility
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
Cited in
(8)- On limit theory for Lévy semi-stationary processes
- A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
- Limit theorems for trawl processes
- On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence
- A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
- Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
- Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages
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