A minimal contrast estimator for the linear fractional stable motion

DOI10.1007/s11203-020-09216-2zbMath1454.60052arXiv1911.04341OpenAlexW3033951322MaRDI QIDQ2194054

Mark Podolskij, Mathias Mørck Ljungdahl

Publication date: 25 August 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.04341

zbMATH Keywords

bootstrapLévy processesself-similaritylimit theoremssubsamplingparametric estimationlow frequencylinear fractional processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10)

Related Items (3)

Estimation of mixed fractional stable processes using high-frequency data ⋮ Power variations for fractional type infinitely divisible random fields ⋮ Multi-dimensional normal approximation of heavy-tailed moving averages

Uses Software

• LBFGS-B

Cites Work

• Unnamed Item
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