IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v57y1995i1p39-71.html
   My bibliography  Save this article

Limit theorems for stable processes with application to spectral density estimation

Author

Listed:
  • Hsing, Tailen

Abstract

This paper deals with issues pertaining to estimating the spectral density of a stationary harmonizable [alpha]-stable process, where 0

Suggested Citation

  • Hsing, Tailen, 1995. "Limit theorems for stable processes with application to spectral density estimation," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 39-71, May.
    • Handle: RePEc:eee:spapps:v:57:y:1995:i:1:p:39-71
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(94)00068-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Marcus, Michael B., 1989. "Some bounds for the expected number of level crossings of symmetric harmonizable p-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 33(2), pages 217-231, December.
    2. Cambanis, Stamatis & Hardin, Clyde D. & Weron, Aleksander, 1987. "Ergodic properties of stationary stable processes," Stochastic Processes and their Applications, Elsevier, vol. 24(1), pages 1-18, February.
    3. Masry, Elias & Cambanis, Stamatis, 1984. "Spectral density estimation for stationary stable processes," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 1-31, September.
    4. Cambanis, Stamatis & Maejima, Makoto, 1989. "Two classes of self-similar stable processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 305-329, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark, 2018. "Estimation of the linear fractional stable motion," Working Papers 2018:3, Örebro University, School of Business.
    2. Andreas Basse-O'Connor & Mark Podolskij, 2015. "On critical cases in limit theory for stationary increments Lévy driven moving averages," CREATES Research Papers 2015-57, Department of Economics and Business Economics, Aarhus University.
    3. Albin, J. M. P., 2000. "Extremes and upcrossing intensities for P-differentiable stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 199-234, June.
    4. Marie-Eliette Dury & Bing Xiao, 2018. "Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models," Working Papers hal-01709321, HAL.
    5. Mathias Mørck Ljungdahl & Mark Podolskij, 2022. "Multidimensional parameter estimation of heavy‐tailed moving averages," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 593-624, June.
    6. Marcus, Michael B. & Shen, Kevin, 1998. "Bounds for the expected number of level crossings of certain harmonizable infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 1-32, August.
    7. 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.
    8. Wang, Yizao & Stoev, Stilian A. & Roy, Parthanil, 2012. "Decomposability for stable processes," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1093-1109.
    9. Stilian Stoev & Murad S. Taqqu, 2005. "Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 211-249, March.
    10. Magdziarz, Marcin, 2009. "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3416-3434, October.
    11. Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij, 2015. "Limit theorems for stationary increments Lévy driven moving averages," CREATES Research Papers 2015-56, Department of Economics and Business Economics, Aarhus University.
    12. Can, Sami Umut, 2014. "A class of asymptotically self-similar stable processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 3986-4011.
    13. Stoev, Stilian A., 2008. "On the ergodicity and mixing of max-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1679-1705, September.
    14. Pipiras, Vladas & Taqqu, Murad S. & Abry, Patrice, 2003. "Can continuous-time stationary stable processes have discrete linear representations?," Statistics & Probability Letters, Elsevier, vol. 64(2), pages 147-157, August.
    15. Rybaczuk, M. & Weron, K., 1989. "Linearly coupled quantum oscillators with Lévy stable noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 160(3), pages 519-526.
    16. Kabluchko, Zakhar & Schlather, Martin, 2010. "Ergodic properties of max-infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 281-295, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:57:y:1995:i:1:p:39-71. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.