On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes

DOI10.1016/j.spa.2012.08.003zbMath1275.62069OpenAlexW2074183973MaRDI QIDQ1761493

Florian Fuchs, Vicky Fasen

Publication date: 15 November 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.08.003

zbMATH Keywords

latticestable distributionsLévy processhigh-frequency dataself-normalized periodogram

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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Stable continuous-time autoregressive process driven by stable subordinator ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ Unnamed Item ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Nonparametric estimation of the kernel function of symmetric stable moving average random functions

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