Estimation of mixed fractional stable processes using high-frequency data
DOI10.1214/23-aos2312arXiv2208.07453OpenAlexW4389820274MaRDI QIDQ6183766
Publication date: 4 January 2024
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.07453
Lévy processesself-similar processeshigh frequency dataparametric estimationlinear fractional stable motion
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)
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