Two classes of self-similar stable processes with stationary increments

Stamatis Cambanis and Makoto Maejima

Stochastic Processes and their Applications, 1989, vol. 32, issue 2, 305-329

Abstract: Two disjoint classes of self similar symmetric stable processes with stationary increments are studied. The first class consists of linear fractional stable processes, which are related to moving average stable processes, and the second class consists of harmonizable fractional stable processes, which are connected to harmonizable stationary stable processes. The domain of attraction of the harmonizable fractional stable processes is also discussed.

Keywords: self-similar; processes; stable; processes; linear; and; harmonizable; fractional; processes; domain; of; attraction (search for similar items in EconPapers)
Date: 1989
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