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Seminar on Probability and Statistics
Seminar information archive ～05/01｜Next seminar｜Future seminars 05/02～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2025/02/20
13:00-14:10 Room #056 (Graduate School of Math. Sci. Bldg.)
Evgeny Spodarev (Universität Ulm)
Non-ergodic statistics for stationary-increment harmonizable stable processes (English)
https://docs.google.com/forms/d/e/1FAIpQLSd5_4NM3xazVUAARMhyv_e55RsYZFyfpOHqC0oGYasM2NLOqQ/viewform
Evgeny Spodarev (Universität Ulm)
Non-ergodic statistics for stationary-increment harmonizable stable processes (English)
[ Abstract ]
We consider the class of stationary-increment harmonizable stable processes $𝑋=\{ 𝑋(𝑡): 𝑡\in \mathbb{R} \}$ defined by $$𝑋(𝑡)=𝑅𝑒\left( \int_{\mathbb{R}} (𝑒^{𝑖𝑡𝑥}−1) \Psi (𝑥) 𝑀_{\alpha}(𝑑𝑥) \right), \quad 𝑡\in\mathbb{R},$$ where $𝑀_{\alpha}$ is an isotropic complex symmetric $\alpha$-stable (𝑆$\alpha$𝑆) random measure with Lebesgue control measure. This class contains real harmonizable fractional stable motions, which are a generalization of the harmonizable representation of fractional Brownian motions to the stable regime, when $\Psi(𝑥)=|𝑥|−𝐻−1/\alpha, 𝑥\in\mathbb{R}$. We give conditions for the integrability of the path of $𝑋$ with respect to a finite, absolutely continuous measure, and show that the convolution with a suitable measure yields a real stationary harmonizable 𝑆$\alpha$𝑆 process with finite control measure. Such a process admits a LePage type series representation consisting of sine and cosine functions with random amplitudes and frequencies, which can be estimated consistently using the periodogram. Combined with kernel density estimation, this allows us to construct consistent estimators for the index of stability $\alpha$ as well as the kernel function $\Psi$ in the integral representation of $𝑋$ (up to a constant factor). For real harmonizable fractional stable motions consistent estimators for the index of stability $\alpha$ and its Hurst parameter $𝐻$ are given, which are computed directly from the periodogram frequency estimates.
[ Reference URL ]We consider the class of stationary-increment harmonizable stable processes $𝑋=\{ 𝑋(𝑡): 𝑡\in \mathbb{R} \}$ defined by $$𝑋(𝑡)=𝑅𝑒\left( \int_{\mathbb{R}} (𝑒^{𝑖𝑡𝑥}−1) \Psi (𝑥) 𝑀_{\alpha}(𝑑𝑥) \right), \quad 𝑡\in\mathbb{R},$$ where $𝑀_{\alpha}$ is an isotropic complex symmetric $\alpha$-stable (𝑆$\alpha$𝑆) random measure with Lebesgue control measure. This class contains real harmonizable fractional stable motions, which are a generalization of the harmonizable representation of fractional Brownian motions to the stable regime, when $\Psi(𝑥)=|𝑥|−𝐻−1/\alpha, 𝑥\in\mathbb{R}$. We give conditions for the integrability of the path of $𝑋$ with respect to a finite, absolutely continuous measure, and show that the convolution with a suitable measure yields a real stationary harmonizable 𝑆$\alpha$𝑆 process with finite control measure. Such a process admits a LePage type series representation consisting of sine and cosine functions with random amplitudes and frequencies, which can be estimated consistently using the periodogram. Combined with kernel density estimation, this allows us to construct consistent estimators for the index of stability $\alpha$ as well as the kernel function $\Psi$ in the integral representation of $𝑋$ (up to a constant factor). For real harmonizable fractional stable motions consistent estimators for the index of stability $\alpha$ and its Hurst parameter $𝐻$ are given, which are computed directly from the periodogram frequency estimates.
https://docs.google.com/forms/d/e/1FAIpQLSd5_4NM3xazVUAARMhyv_e55RsYZFyfpOHqC0oGYasM2NLOqQ/viewform
