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Pré-Publication, Document De Travail Année : 2024

Limit theorems for multivariate self-similar symmetric stable moving average processes: a study with p-variations

Résumé

We consider the class of moving average symmetric α-stable processes, for 1 < α < 2. These processes are H-self-similar (0 < H < 1) with stationary increments, indexed by Rd, and driven by a symmetric α-stable random measure Mα. Our aim is to identify them by estimating the Hurst parameter H, using estimators derived from p-variations and a wavelet decomposition.
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hal-04530456 , version 1 (03-04-2024)

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  • HAL Id : hal-04530456 , version 1

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Marie-Eliette Dury, Nourddine Azzaoui, Arnaud Guillin. Limit theorems for multivariate self-similar symmetric stable moving average processes: a study with p-variations. 2024. ⟨hal-04530456⟩
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