Power variations for fractional type infinitely divisible random fields

نویسندگان

چکیده

This paper presents new limit theorems for power variations of fractional type symmetric infinitely divisible random fields. More specifically, the field X=(X(t))t?[0,1]d is defined as an integral a kernel function g with respect to measure L and observed on grid mesh size n?1. As n??, first order limits are obtained variation statistics constructed from rectangular increments X. The present work mostly related [8, 9], who studied similar problem in case d=1. We will see, however, that asymptotic theory setting much richer compared 9] it contains limits, which depend precise structure g. give some important examples including Lévy moving average field, well-balanced linear ?-stable sheet, discuss potential consequences statistical inference.

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ژورنال

عنوان ژورنال: Electronic Journal of Probability

سال: 2021

ISSN: ['1083-6489']

DOI: https://doi.org/10.1214/21-ejp617