The dependence structure of log-fractional stable noise with analogy to fractional Gaussian noise
We examine the process log-fractional stable motion (log-FSM), which is an α-stable process with α ∈ (1, 2). Its tail probabilities decay like x−α as x → ∞, and hence it has a finite mean, but its variance is infinite. As a result, its dependence structure cannot be described by using correlation...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | article |
| Language: | EN FR IT |
| Published: |
Sapienza Università Editrice
2008
|
| Subjects: | |
| Online Access: | https://doaj.org/article/1fb38df5ebba4ca192c858499aebebbf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|