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Multidimensional parameter estimation of heavy‐tailed moving averages

  • Published:2021-05-06 Issue: Volume: Page:
  • ISSN:0303-6898
  • Container-title:Scandinavian Journal of Statistics
  • language:en
  • Short-container-title:Scand J Statist

Author:

Ljungdahl Mathias Mørck1ORCID,Podolskij Mark2

Affiliation:

1. Department of Mathematics Aarhus University Aarhus Denmark

2. Department of Mathematics University of Luxembourg Esch‐sur‐Alzette Luxembourg

Funder

Villum Fonden

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference24 articles.

1. Maximum likelihood estimation for α‐stable autoregressive processes;Andrews B.;Annals of Statistics,2009

2. Linear fractional stable motion: A wavelet estimator of the parameter

3. Azmoodeh E. Ljungdahl M. M. &Thäle C.(2020).Multi‐dimensional normal approximation of heavy‐tailed moving averages. arxiv: 2002.11335.

4. On limit theory for functionals of stationary increments Levy driven moving averages;Basse‐O'Connor A.;Electronic Journal of Probability,2019

5. Power variation for a class of stationary increments Lévy driven movring averages;Basse‐O'Connor A.;Annals of Probability,2017

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymptotic theory for quadratic variation of harmonizable fractional stable processes;Theory of Probability and Mathematical Statistics;2024-05-10

2. Estimation of mixed fractional stable processes using high-frequency data;The Annals of Statistics;2023-10-01

3. A note on estimation of α-stable CARMA processes sampled at low frequencies;Journal of Statistical Planning and Inference;2022-07

4. Multi-dimensional normal approximation of heavy-tailed moving averages;Stochastic Processes and their Applications;2022-03
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