Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions

Andreas Basse-O'Connor*, Thorbjørn Øystein Brynimin Grønbæk, Mark Podolskij

*Corresponding author af dette arbejde

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Abstract

In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be the harmonizable fractional stable motion. In addition, we provide sufficient conditions for existence of harmonizable fractional Lévy motions.

OriginalsprogEngelsk
TidsskriftESAIM: Probability & Statistics
Vol/bind25
Sider (fra-til)286-297
Antal sider12
ISSN1292-8100
DOI
StatusUdgivet - jul. 2021

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