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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sapienza Università Editrice
2008-01-01
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| Series: | Rendiconti di Matematica e delle Sue Applicazioni |
| Subjects: | |
| Online Access: | https://www1.mat.uniroma1.it/ricerca/rendiconti/ARCHIVIO/2008(1)/97-115.pdf |