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On layered stable processes

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journal contribution
posted on 16.09.2009, 14:03 by Christian Houdré, Reiichiro Kawai
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, over short intervals it is close to a stable process, while over long intervals it approximates another stable (possibly Gaussian) process. The absolute continuity of a layered stable process with respect to its short-range limiting stable process is also investigated. A series representation of layered stable processes is derived, giving insights into the structure both of the sample paths and of the short- and long-range behaviours of the process. This series representation is further used for simulation of sample paths.

History

Citation

Bernoulli, 2007, 13 (1), pp. 252-278.

Published in

Bernoulli

Publisher

Bernoulli Society for Mathematical Statistics & Probability

issn

1350-7265

Copyright date

2007

Available date

16/09/2009

Publisher version

http://projecteuclid.org/euclid.bj/1175287732

Language

en

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