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: | , |
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| Formato: | article |
| Lenguaje: | EN FR IT |
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Sapienza Università Editrice
2008
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| Acceso en línea: | https://doaj.org/article/1fb38df5ebba4ca192c858499aebebbf |
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