In this article we present a parametric estimation method for certain multiparameter heavy‐
tailed Lévy‐driven moving averages. The theory relies on recent multivariate central limit …

In this paper we present an estimator for the three-dimensional parameter (σ, α, H)(σ, α, H) of
the linear fractional stable motion, where H represents the self-similarity parameter, and (σ …

In this paper we obtain Berry–Esseén bounds on partial sums of functionals of heavy-tailed
moving averages, including the linear fractional stable noise, stable fractional ARIMA …

Estimation of mixed fractional stable processes using high-frequency data Page 1 The
Annals of Statistics 2023, Vol. 51, No. 5, 1946–1964 https://doi.org/10.1214/23-AOS2312 © …

In this paper we study the asymptotic theory for quadratic variation of a harmonizable
fractional $\alpha $-stable process. We show a law of large numbers with a non-ergodic limit …

We show that any stationary symmteric $\alpha $-stable ($ S\alpha S $) random field
indexed by a countable amenable group $ G $ is weakly mixing if and only if it is generated …

We investigate a family of multiple-stable processes that may exhibit either long-range or
short-range dependence, depending on the parameters. There are two parameters for the …

We establish multidimensional analogues of one-dimensional stable limit theorems due to
H\" ausler and Luschgy (2015) for so called explosive processes. As special cases we …

We investigate a family of stationary processes that may exhibit either long-range or short-
range dependence, depending on the parameters. The processes can be represented as …

Understanding the asymptotic behavior of statistics based on high frequency observations
has gained considerable attention in the recent years, notably due to the ever-growing …