Stable CLTs and Rates for Power Variation of α -Stable Lévy Processes
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9378-z |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9378-z | ||
| 245 | 0 | 0 | |a Stable CLTs and Rates for Power Variation of α -Stable Lévy Processes |h [Elektronische Daten] |c [Jan Gairing, Peter Imkeller] |
| 520 | 3 | |a In a central limit type result it has been shown that the pth power variations of an α-stable Lévy process along sequences of equidistant partitions of a given time interval have $\frac{\alpha}{p}$ -stable limits. In this paper we give precise orders of convergence for the distances of the approximate power variations computed for partitions with mesh of order $\frac{1}{n}$ and the limiting law, measured in terms of the Kolmogorov-Smirnov metric. In case 2α < p the convergence rate is seen to be of order $\frac{1}{n}$ , in case α < p < 2α the order is $n^{1-\frac{p}{\alpha}}.$ | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Lévy process |2 nationallicence | |
| 690 | 7 | |a Stable process |2 nationallicence | |
| 690 | 7 | |a Power variation |2 nationallicence | |
| 690 | 7 | |a Central limit theorem |2 nationallicence | |
| 690 | 7 | |a Fourier transform |2 nationallicence | |
| 690 | 7 | |a Tail probability |2 nationallicence | |
| 690 | 7 | |a Rate of convergence |2 nationallicence | |
| 690 | 7 | |a Empirical distribution function |2 nationallicence | |
| 690 | 7 | |a Minimum distance estimator |2 nationallicence | |
| 690 | 7 | |a Brownian bridge |2 nationallicence | |
| 700 | 1 | |a Gairing |D Jan |u Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany |4 aut | |
| 700 | 1 | |a Imkeller |D Peter |u Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 73-90 |x 1387-5841 |q 17:1<73 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9378-z |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9378-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Gairing |D Jan |u Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Imkeller |D Peter |u Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 73-90 |x 1387-5841 |q 17:1<73 |1 2015 |2 17 |o 11009 | ||