Linear Multifractional Stable Motion: Representation via Haar basis

Julien Hamonier

Stochastic Processes and their Applications, 2015, vol. 125, issue 3, 1127-1147

Abstract: The goal of this paper is to provide a wavelet series representation for Linear Multifractional Stable Motion (LMSM). Instead of using Daubechies wavelets, which are not given in closed form, we use a Haar wavelet, thus yielding a more explicit expression than that in Ayache and Hamonier (in press).

Keywords: Approximation of processes; Linear Fractional and Multifractional Stable Motions; Wavelet series representations; Haar system (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2014.10.013

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