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

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DOI

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 languageEnglish
JournalESAIM: Probability & Statistics
Volume25
Pages (from-to)286-297
Number of pages12
ISSN1292-8100
DOIs
Publication statusPublished - Jul 2021

    Research areas

  • Fractional processes, Harmonizable processes, Local asymptotic self-similarity, Spectral representations

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