Multi-dimensional normal approximation of heavy-tailed moving averages
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DOI: 10.1016/j.spa.2021.11.011
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- Mathias Mørck Ljungdahl & Mark Podolskij, 2020. "A minimal contrast estimator for the linear fractional stable motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 381-413, July.
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- Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107611986, October.
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Keywords
Central limit theorem; Heavy-tailed moving average; Lévy process; Malliavin–Stein method; Poisson random measure; Second-order Poincaré inequality;All these keywords.
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