310 citations · 1.1k across the 52 of their papers we have counts for
27 papers · 1 filter
Limit theorems for general functionals of Brownian local times
Simon Campese, Nicolas Lengert, Mark Podolskij
In this paper, we present the asymptotic theory for integrated functions of increments of Brownian local times in space. Specifically, we determine their first-order limit, along w…
Asymptotic theory for quadratic variation of harmonizable fractional stable processes
Andreas Basse-O'Connor, Mark Podolskij
In this paper we study the asymptotic theory for quadratic variation of a harmonizable fractional $\al$-stable process. We show a law of large numbers with a non-ergodic limit and…
Quantitative and stable limits of high-frequency statistics of Lévy processes: a Stein's method approach
Chiara Amorino, Arturo Jaramillo, Mark Podolskij
We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional Lévy processes and that…
Optimal estimation of local time and occupation time measure for an α-stable Levy process
Chiara Amorino, Arturo Jaramillo, Mark Podolskij
We present a novel theoretical result on estimation of local time and occupation time measure of an α-stable Lévy process with α in (1, 2). Our approach is based upon computing the…
On estimation of quadratic variation for multivariate pure jump semimartingales
Johannes Heiny, Mark Podolskij
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric -stable Lévy processes, , and certain pure jump semim…
Power variations for fractional type infinitely divisible random fields
Andreas Basse-O'Connor, Vytautė Pilipauskaitė, Mark Podolskij
This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields. More specifically, the random field $X = (X(\boldsymbol{…