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...

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Autores principales: Murad S. Taqqu, Joshua B. Levy
Formato: article
Lenguaje:EN
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Publicado: Sapienza Università Editrice 2008
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Acceso en línea:https://doaj.org/article/1fb38df5ebba4ca192c858499aebebbf
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