A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
In this paper we present some new limit theorems for power variations of stationary increment Lévy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477–4528, Festschrift for Bernt Øksendal, Stochastics 81(1) (2017), 360–383] u...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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VTeX
2018-08-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/journal/VMSTA/article/122/info |
| Summary: | In this paper we present some new limit theorems for power variations of stationary increment Lévy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477–4528, Festschrift for Bernt Øksendal, Stochastics 81(1) (2017), 360–383] under the assumption that the kernel function potentially exhibits a singular behaviour at 0. The aim of this work is to demonstrate how some of the results change when the kernel function has multiple singularity points. Our paper is also related to the article [Stoch. Process. Appl. 125(2) (2014), 653–677] that studied the same mathematical question for the class of Brownian semi-stationary models. |
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| ISSN: | 2351-6046 2351-6054 |