Estimation of the linear fractional stable motion

DOI10.48550/ARXIV.1802.06373zbMATH Open1453.60088arXiv1802.06373MaRDI QIDQ98645FDOQ98645

Authors: Stepan Mazur, Dmitry Otryakhin, Mark Podolskij, Stepan Mazur, Dmitry Otryakhin, Mark Podolskij 

Publication date: 18 February 2018

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural non-Gaussian analogue of the scaled fractional Brownian motion. It is fully characterised by the scaling parameter $sigma>0$, the self-similarity parameter $Hin(0,1)$ and the stability index $alphain(0,2)$ of the driving stable motion. The parametric estimation of the model is inspired by the limit theory for stationary increments L'evy moving average processes that has been recently studied in cite{BLP}. More specifically, we combine (negative) power variation statistics and empirical characteristic functions to obtain consistent estimates of $(sigma,alpha,H)$. We present the law of large numbers and some fully feasible weak limit theorems.

Full work available at URL: https://arxiv.org/abs/1802.06373

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zbMATH Keywords

fractional processeslinear fractional stable processparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (16)

• Estimation of the multifractional function and the stability index of linear multifractional stable processes
• Estimation of the self-similarity parameter in linear fractional stable motion.
• A minimal contrast estimator for the linear fractional stable motion
• Estimation of parameters of fractional stable distributions
• One-step estimation for the fractional Gaussian noise at high-frequency
• Indicator fractional stable motions
• Estimation of mixed fractional stable processes using high-frequency data
• Power variations for fractional type infinitely divisible random fields
• Title not available (Why is that?)
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Estimation of the linear fractional stable motion
• rlfsm
• Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters
• Multi-dimensional normal approximation of heavy-tailed moving averages
• On limit theory for functionals of stationary increments Lévy driven moving averages

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