A uniform law for convergence to the local times of linear fractional stable motions

James Duffy ()
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James Duffy: Institute for New Economic Thinking, Oxford Martin School, and Economics Department, University of Oxford

No 2015-W01, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We provide a uniform law for the weak convergence of additive functionals of partial sum processes to the local times of linear fractional stable motions, in a setting sufficiently general for statistical applications. Our results are fundamental to the analysis of the global properties of nonparametric estimators of nonlinear statistical models that involve such processes as covariates.

Pages: 31 pages
Date: 2015-01-22
New Economics Papers: this item is included in nep-ecm
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