A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities

DOI10.15559/18-VMSTA111zbMath1412.60047arXiv1803.01017MaRDI QIDQ2414851

Mark Podolskij, Mathias Mørck Ljungdahl

Publication date: 17 May 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.01017

zbMATH Keywords

Lévy processeslimit theoremsmoving averageshigh frequency datastable convergencefractional processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (1)

Multi-dimensional normal approximation of heavy-tailed moving averages

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Discretization of processes.
• Multipower variation for Brownian semistationary processes
• Power variation for a class of stationary increments Lévy driven moving averages
• Spectral representations of infinitely divisible processes
• On mixing and stability of limit theorems
• On non-standard limits of Brownian semi-stationary processes
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• On critical cases in limit theory for stationary increments Lévy driven moving averages
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

This page was built for publication: A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities