A uniform law for convergence to the local times of linear fractional stable motions

We provide a uniform law for the weak convergence of additive functionals of partial sum processes to the local times of linear fractional stable motions, in a setting sufficiently general for statistical applications. Our results are fundamental to the analysis of the global properties of nonparametric estimators of nonlinear statistical models that involve such processes as covariates.

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Year of publication:	2015-01-22
Authors:	Duffy, James
Institutions:	Economics Group, Nuffield College, University of Oxford

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2015-W01 31 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011124435