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Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
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Documents
- ps180006
Final published version, 407 KB, PDF document
DOI
- https://doi.org/10.1051/ps/2021011
Final published version
- Andreas Basse-O'Connor
- Thorbjørn Øystein Brynimin Grønbæk ,
- Mark Podolskij
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.
| Original language | English |
|---|---|
| Journal | ESAIM: Probability & Statistics |
| Volume | 25 |
| Pages (from-to) | 286-297 |
| Number of pages | 12 |
| ISSN | 1292-8100 |
| DOIs | |
| Publication status | Published - Jul 2021 |
- Fractional processes, Harmonizable processes, Local asymptotic self-similarity, Spectral representations
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