On critical cases in limit theory for stationary increments Lévy driven moving averages

DOI10.1080/17442508.2016.1191493zbMath1379.60050OpenAlexW2200590435MaRDI QIDQ2974869

Mark Podolskij, Andreas Basse-O'Connor

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1191493

zbMATH Keywords

limit theoremsmoving averageshigh frequency datastable convergencepower variationfractional processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Related Items (4)

A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities ⋮ Estimation of mixed fractional stable processes using high-frequency data ⋮ On limit theory for Lévy semi-stationary processes ⋮ On limit theory for functionals of stationary increments Lévy driven moving averages

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