Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions

DOI10.1051/ps/2021011zbMath1478.60122arXiv1801.04143OpenAlexW3177239162MaRDI QIDQ5000394

Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij

Publication date: 13 July 2021

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.04143

zbMATH Keywords

harmonizable processesspectral representationsfractional processeslocal asymptotic self-similarity

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Uses Software

• LASS

Cites Work

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• Elliptic Gaussian random processes
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• On roughness indices for fractional fields
• On the structure of stationary stable processes
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Fractional Lévy processes with an application to long memory moving average processes
• Semi-Stable Stochastic Processes
• Multivariate stochastic integrals with respect to independently scattered random measures on $\delta$-rings
• Random measures and harmonizable sequences

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