7 citations · 9 across the 4 of their papers we have counts for
6 papers
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…
On limit theory for functionals of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments Lévy driven moving averages. We will see that the asy…
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij
In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be…
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
Andreas Basse-O'Connor, Jan Pedersen, Victor Rohde
Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility is…
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…
Limit theorems for stationary increments Lévy 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 this infill sampling setting…