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Pilipauskait˙e V, Surgailis D. Local scaling limits of Lévy driven fractional random fields. BERNOULLI 2022. [DOI: 10.3150/21-bej1439] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Vytaut˙e Pilipauskait˙e
- University of Luxembourg, Department of Mathematics, 6 Avenue de la Fonte, 4364 Esch-sur-Alzette, Luxembourg
| | - Donatas Surgailis
- Vilnius University, Faculty of Mathematics and Informatics, Naugarduko 24, 03225 Vilnius, Lithuania
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Curato IV, Stelzer R, Ströh B. Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields. ANN APPL PROBAB 2022. [DOI: 10.1214/21-aap1722] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
| | | | - Bennet Ströh
- Institute of Mathematical Finance, Ulm University
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Basse-O’Connor A, Pilipauskaitė V, Podolskij M. Power variations for fractional type infinitely divisible random fields. ELECTRON J PROBAB 2021. [DOI: 10.1214/21-ejp617] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
| | | | - Mark Podolskij
- Department of Mathematics, University of Luxembourg, Luxembourg
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Hildebrandt F, Trabs M. Parameter estimation for SPDEs based on discrete observations in time and space. Electron J Stat 2021. [DOI: 10.1214/21-ejs1848] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Florian Hildebrandt
- Florian Hildebrandt, Fachbereich Mathematik, Universität Hamburg, Bundesstraße 55, 20146 Hamburg, Germany
| | - Mathias Trabs
- Mathias Trabs, Fachbereich Mathematik, Universität Hamburg, Bundesstraße 55, 20146 Hamburg, Germany
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Sauri O. Pathwise Decompositions of Brownian Semistationary Processes. THEORY OF PROBABILITY AND ITS APPLICATIONS 2019. [DOI: 10.1137/s0040585x97t989404] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/20/2022]
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Viitasaari L. Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences. PROBABILITY SURVEYS 2019. [DOI: 10.1214/15-ps267] [Citation(s) in RCA: 5] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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8
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Pakkanen MS, Réveillac A. Functional limit theorems for generalized variations of the fractional Brownian sheet. BERNOULLI 2016. [DOI: 10.3150/15-bej707] [Citation(s) in RCA: 7] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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9
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Barndorff-Nielsen OE, Sauri O, Szozda B. Selfdecomposable Fields. J THEOR PROBAB 2015. [DOI: 10.1007/s10959-015-0630-z] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
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Barndorff-Nielsen OE, Pakkanen MS, Schmiegel J. Assessing relative volatility/ intermittency/energy dissipation. Electron J Stat 2014. [DOI: 10.1214/14-ejs942] [Citation(s) in RCA: 16] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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