Arbeitspapier
Estimation of the linear fractional stable motion
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural non-Gaussian analogue of the scaled fractional Brownian motion. It is fully characterised by the scaling parameter $\sigma>0$, the self-similarity parameter $H \in (0,1)$ and the stability index $\alpha \in (0,2)$ of the driving stable motion. The parametric estimation of the model is inspired by the limit theory for stationary increments L\'evy moving average processes that has been recently studied in \cite{BLP}. More specifically, we combine (negative) power variation statistics and empirical characteristic functions to obtain consistent estimates of $(\sigma, \alpha, H)$. We present the law of large numbers and some fully feasible weak limit theorems.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 3/2018
- Klassifikation
-
Wirtschaft
Mathematical and Quantitative Methods: General
Estimation: General
- Thema
-
fractional processes
limit theorems
parametric estimation
stable motion
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mazur, Stepan
Otryakhin, Dmitry
Podolskij, Mark
- Ereignis
-
Veröffentlichung
- (wer)
-
Örebro University School of Business
- (wo)
-
Örebro
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mazur, Stepan
- Otryakhin, Dmitry
- Podolskij, Mark
- Örebro University School of Business
Entstanden
- 2018
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