4 papers
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely s…
On operator fractional Lévy motion: integral representations and time reversibility
Benjamin Cooper Boniece, Gustavo Didier
In this paper, we construct operator fractional Lévy motion (ofLm), a broad class of non-Gaussian stochastic processes that are covariance operator self-similar, have wide-sense st…
On fractional Lévy processes: tempering, sample path properties and stochastic integration
Benjamin Cooper Boniece, Gustavo Didier, Farzad Sabzikar
We define two new classes of stochastic processes, called tempered fractional Lévy process of the first and second kinds (TFLP and TFLP , respectively). TFLP and TFLP …
Tempered fractional Brownian motion: wavelet estimation, modeling and testing
B. Cooper Boniece, Gustavo Didier, Farzad Sabzikar
The Davenport spectrum is a modification of the classical Kolmogorov spectrum for the inertial range of turbulence that accounts for non-scaling low frequency behavior. Like the cl…