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...
Guardado en:
Autores principales: | Murad S. Taqqu, Joshua B. Levy |
---|---|
Formato: | article |
Lenguaje: | EN FR IT |
Publicado: |
Sapienza Università Editrice
2008
|
Materias: | |
Acceso en línea: | https://doaj.org/article/1fb38df5ebba4ca192c858499aebebbf |
Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
-
Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion
por: Vasile Brătian, et al.
Publicado: (2021) -
Error analysis of selection combining over α–μ fading with symmetric alpha-stable noise
por: Umer Ashraf, et al.
Publicado: (2021) -
Nonlinear Fault-Tolerant Control Design for Singular Stochastic Systems With Fractional Stochastic Noise and Time-Delay
por: S. Sweetha, et al.
Publicado: (2021) -
Optimal control of stochastic system with Fractional Brownian Motion
por: Chaofeng Zhao, et al.
Publicado: (2021) -
Almost Periodic Solutions to Impulsive Stochastic Delay Differential Equations Driven by Fractional Brownian Motion With 12 < H < 1
por: Lili Gao, et al.
Publicado: (2021)