Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156742 | Stochastic Processes and their Applications | 2013 | 20 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Andreas Basse-O’Connor, Jan Rosiński,