Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

Basse-O’Connor, Andreas and Jan Rosiński

Stochastic Processes and their Applications, 2013, vol. 123, issue 6, 1871-1890

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.

Keywords: Finite variation; Infinitely divisible processes; Stationary processes; Fractional processes; Zero–one laws (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spa.2013.01.014

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