Title :

Harmonizable Fractional Stable Motion: simultaneous estimators for the both parameters

Author(s) :

Ayache, Antoine [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Publication date :

2023-05-08

English keyword(s) :

discrete wavelet transforms
heavy-tailed stable distributions
hamonizable fractional processes
non-ergodicity
laws of large numbers

HAL domain(s) :

Mathématiques [math]

English abstract : [en]

There are two classical very different extensions of the well-known Gaussian fractional Brownian motion to non-Gaussian frameworks of heavy-tailed stable distributions: the harmonizable fractional stable motion (HFSM) and ...
Show more >There are two classical very different extensions of the well-known Gaussian fractional Brownian motion to non-Gaussian frameworks of heavy-tailed stable distributions: the harmonizable fractional stable motion (HFSM) and the linear fractional stable motion (LFSM). As far as we know, while several articles in the literature, some of which appeared a long time ago, have proposed statistical estimators for the parameters of LFSM, no estimator has yet been proposed in the framework of HFSM. Among other things, what makes statistical estimation of parameters of HFSM to be a difficult problem is that, in contrast to LFSM, HFSM is not ergodic. The main goal of our work is to propose a new strategy for dealing with this problem and obtaining solutions of it. The keystone of our new strategy consists in the construction of new transforms of HFSM which allow to obtain, at any dyadic level, a sequence of independent stable random variables.Show less >

Language :

Anglais

ANR Project :

Centre Européen pour les Mathématiques, la Physique et leurs Interactions

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL