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Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

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We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Levy processes, and also their mixtures. We establish two types of zero-one laws for the finite variation property. We also consider some examples to illustrate our results.
OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind123
Nummer6
Sider (fra-til)1871-1890
Antal sider20
ISSN0304-4149
DOI
StatusUdgivet - 2013

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