310 citations · 1.1k across the 52 of their papers we have counts for
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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…
The asymptotic error of chaos expansion approximations for stochastic differential equations
Tony Huschto, Mark Podolskij, Sebastian Sager
In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square integrable stochastic differe…
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
Andreas Basse-O'Connor, Mark Podolskij, Christoph Thäle
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 pr…