Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
Probability
2013-01-29 v2
Abstract
We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Levy processes, and also their mixtures. We establish two types of zero-one laws for the finite variation property. We also consider some examples to illustrate our results.
Keywords
Cite
@article{arxiv.1201.4366,
title = {Characterization of the finite variation property for a class of stationary increment infinitely divisible processes},
author = {Andreas Basse-O'Connor and Jan Rosiński},
journal= {arXiv preprint arXiv:1201.4366},
year = {2013}
}
Comments
To appear in Stochastic Processes and their Applications