Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions

Andreas Basse-O'Connor; Thorbjørn Grønbæk; Mark Podolskij

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arXiv · 1801.04143

Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions

Andreas Basse-O'Connor·Thorbjørn Grønbæk·Mark Podolskij

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Abstract

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 the harmonizable fractional stable motion. In addition, we provide sufficient conditions for existence of harmonizable fractional Lévy motions.

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Andreas Basse-O'Connor, Thorbjørn Grønbæk, Mark Podolskij. 2018-01-12. Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions. https://arxiv.org/abs/1801.04143

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