Asymptotic theory for quadratic variation of harmonizable fractional stable processes

DOI10.1090/TPMS/1203MaRDI QIDQ6427832zbMATH OpenFDO

Authors Andreas Basse-O'Connor, Mark Podolskij

Publication date 27 February 2023

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Generalizations of martingales (60G48) Stable stochastic processes (60G52) Stochastic integrals (60H05)

Abstract: In this paper we study the asymptotic theory for quadratic variation of a harmonizable fractional $al$-stable process. We show a law of large numbers with a non-ergodic limit and obtain weak convergence towards a L'evy-driven Rosenblatt random variable when the Hurst parameter satisfies $Hin(1/2,1)$ and $al(1-H)<1/2$. This result complements the asymptotic theory for fractional stable processes investigated in e.g. cite{BHP19,BLP17,BP17,BPT20,LP18,MOP20}.

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