Limit theorems for stable processes with application to spectral density estimation

DOI10.1016/0304-4149(94)00068-5zbMath0816.60029OpenAlexW2021918965MaRDI QIDQ1890713

Tailen Hsing

Publication date: 23 May 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00068-5

zbMATH Keywords

spectral densityspectral density estimatorasymptotic properties of the estimatornearly stationary moving average alpha-stable process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15)

Cites Work

• Two classes of self-similar stable processes with stationary increments
• Spectral density estimation for stationary stable processes
• Some bounds for the expected number of level crossings of symmetric harmonizable p-stable processes
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Ergodic properties of stationary stable processes
• Convergence to a stable distribution via order statistics
• On tail index estimation using dependent data
• Extremes of moving averages of stable processes
• Stable limits for partial sums of dependent random variables
• Prediction of stable processes: Spectral and moving average representations
• Harmonizable stable processes
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