Nonparametric estimation of the kernel function of symmetric stable moving average random functions

DOI10.1007/s10463-020-00751-6zbMath1469.62222arXiv1706.06289OpenAlexW3015742581MaRDI QIDQ2042436

Jürgen Kampf, Evgueni Spodarev, Georgiy M. Shevchenko

Publication date: 20 July 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06289

zbMATH Keywords

high-frequency observationsself-normalized periodogrammoving average random functionstable random function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (2)

An inverse problem for infinitely divisible moving average random fields ⋮ Long range dependence for stable random processes

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