310 citations · 1.1k across the 52 of their papers we have counts for
3 papers · 1 filter
Estimation of the global regularity of a multifractional Brownian motion
Joachim Lebovits, Mark Podolskij
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the r…
On limit theory for Levy semi-stationary processes
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we present some limit theorems for power variation of Lévy semi-stationary processes in the setting of infill asymptotics. Lévy semi-stationary processes, which are a…
Limit theorems for a class of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Raphaël Lachièze-Rey, Mark Podolskij
In this paper we present some new limit theorems for power variation of th order increments of stationary increments Lévy driven moving averages. In the infill asymptotic settin…