The asymptotic dependence structure of the linear fractional Lévy motion

DOI10.1007/BF00972312zbMath0786.60052OpenAlexW2080198894MaRDI QIDQ1316932

Murad S. Taqqu, Joshua B. Levy, Arvydas Astrauskas

Publication date: 27 March 1994

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00972312

zbMATH Keywords

asymptotic dependence structureH-self-similar process with stationary incrementsLog-fractional Lévy motion

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18)

Related Items (16)

Tempered fractional stable motion ⋮ Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Tempered fractional Brownian and stable motions of second kind ⋮ Properties of spectral covariance for linear processes with infinite variance ⋮ On highly skewed fractional log‐stable noise sequences and their application ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ The asymptotic codifference and covariation of log-fractional stable noise ⋮ Tempered fractional multistable motion and tempered multifractional stable motion ⋮ Long memory and self-similar processes ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ Higher order fractional stable motion: hyperdiffusion with heavy tails ⋮ Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations ⋮ Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation

Cites Work

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• Log-fractional stable processes
• Two classes of self-similar stable processes with stationary increments
• Limit theorems for sums of linearly generated random variables
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes
• On a class of self-similar processes
• Infinite variance self-similar processes subordinate to a poisson measure
• A self-similar process with nowhere bounded sample paths
• Fractional Brownian Motions, Fractional Noises and Applications

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