Power variation for a class of stationary increments Lévy driven moving averages

DOI10.1214/16-AOP1170zbMath1427.60081arXiv1603.07382MaRDI QIDQ682272

Andreas Basse-O'Connor, Mark Podolskij, Raphael Lachieze-Rey

Publication date: 14 February 2018

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

Full work available at URL: https://arxiv.org/abs/1603.07382

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) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic integrals (60H05)

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