Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation

DOI10.3150/07-BEJ6143zbMath1129.62021arXiv0711.4457MaRDI QIDQ2469667

Patrice Abry, Vladas Pipiras, Murad S. Taqqu

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.4457

zbMATH Keywords

waveletsstable distributionscovariancemoving averagesdependence measureslinear fractional stable motionself-similarity parameter estimators

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inequalities; stochastic orderings (60E15) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)

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