On limit theory for functionals of stationary increments Lévy driven moving averages
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Publication:2274198
DOI10.1214/19-EJP336zbMath1467.60019arXiv1806.10352MaRDI QIDQ2274198
Claudio Heinrich, Mark Podolskij, Andreas Basse-O'Connor
Publication date: 19 September 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.10352
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)
Related Items (5)
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages ⋮ A minimal contrast estimator for the linear fractional stable motion ⋮ 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
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