Aarhus University Seal

On critical cases in limit theory for stationary increments Levy driven moving averages

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

In this paper we present some limit theorems for power variation of a class of stationary increments Lévy driven moving averages in the setting of critical regimes. In an earlier work the authors derived first and second order asymptotic results for kth order increments of stationary increments Lévy driven moving averages. The limit theory heavily depends on the interplay between the given order of the increments, the considered power p > 0), the Blumenthal–Getoor index β ε (0,2) of the driving pure jump Lévy process L and the behaviour of the kernel function g at 0 determined by the power α .In this work we study the critical cases α = K-1/p and α = k-1/β with p ≠ β ,which were not covered in the above mentioned work.

Original languageEnglish
JournalStochastics: An International Journal of Probability and Stochastic Processes
Pages (from-to)360-383
Number of pages24
Publication statusPublished - 5 Jan 2017

    Research areas

  • Power variation, fractional processes, high frequency data, limit theorems, moving averages, stable convergence

See relations at Aarhus University Citationformats

ID: 99997804