Characterization of the finite variation property for a class of stationary increment infinitely divisible processes |
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Authors: | Andreas Basse-O’Connor Jan Rosiński |
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Institution: | Department of Mathematics, The University of Tennessee, USA |
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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 Lévy 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. |
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Keywords: | 60G48 60H05 60G51 60G17 |
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