A uniform law for convergence to the local times of linear fractional stable motions

DOI10.1214/14-AAP1085zbMath1334.60044arXiv1501.05467MaRDI QIDQ259566

James A. Duffy

Publication date: 11 March 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.05467

zbMATH Keywords

integral functionalsweak convergencefractional Brownian motionadditive functionalslocal timesnonparametric regressionfractional stable motionsnonlinear cointegration

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Related Items (4)

UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION ⋮ Model checks for nonlinear cointegrating regression ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY

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