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A uniform law for convergence to the local times of linear fractional stable motions

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  • James Duffy

    (Institute for New Economic Thinking, Oxford Martin School, and Economics Department, University of Oxford)

Abstract

We provide a uniform law for the weak convergence of additive functionals of partial sum processes to the local times of linear fractional stable motions, in a setting sufficiently general for statistical applications. Our results are fundamental to the analysis of the global properties of nonparametric estimators of nonlinear statistical models that involve such processes as covariates.

Suggested Citation

  • James Duffy, 2015. "A uniform law for convergence to the local times of linear fractional stable motions," Economics Papers 2015-W01, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1501
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    File URL: http://www.nuffield.ox.ac.uk/economics/papers/2015/duffy-uniform-law.pdf
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