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.
Mots clés
Stable distributions H-Self-similar with stationary increments (H-sssi) processes Wavelet basis Sums of independent random variables Random measures Primary 60G18 60G10 65T60 60F05
Secondary 60G50 60G57
Stable distributions
H-Self-similar with stationary increments (H-sssi) processes
Wavelet basis
Sums of independent random variables
Random measures Primary 60G18
60G10
65T60
60F05
Secondary 60G50
60G57
Domaines
Statistiques [stat]| Origine | Fichiers produits par l'(les) auteur(s) |
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