Estimation of the linear fractional stable motion

02/18/2018
by   Stepan Mazur, et al.
0

In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural non-Gaussian analogue of the scaled fractional Brownian motion. It is fully characterised by the scaling parameter σ>0, the self-similarity parameter H ∈ (0,1) and the stability index α∈ (0,2) of the driving stable motion. The parametric estimation of the model is inspired by the limit theory for stationary increments Lévy moving average processes that has been recently studied in BLP. More specifically, we combine (negative) power variation statistics and empirical characteristic functions to obtain consistent estimates of (σ, α, H). We present the law of large numbers and some fully feasible weak limit theorems.

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