4 papers
Multi-dimensional parameter estimation of heavy-tailed moving averages
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present a parametric estimation method for certain multi-parameter heavy-tailed Lévy-driven moving averages. The theory relies on recent multivariate central limit…
Multi-Dimensional Normal Approximation of Heavy-Tailed Moving Averages
Ehsan Azmoodeh, Mathias Mørck Ljungdahl, Christoph Thäle
In this paper we extend the refined second-order Poincaré inequality for Poisson functionals from a one-dimensional to a multi-dimensional setting. Its proof is based on a multivar…
A Minimal Contrast Estimator for the Linear Fractional Stable Motion
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present an estimator for the three-dimensional parameter of the linear fractional stable motion, where represents the self-similarity parameter, an…
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
Mathias Mørck Ljungdahl, Mark Podolskij
In this paper we present some new limit theorems for power variations of stationary increment Lévy driven moving average processes. Recently, such asymptotic results have been inve…