On local fluctuations of stable moving average processes

A. Reza Soltani

Stochastic Processes and their Applications, 1992, vol. 42, issue 1, 111-118

Abstract: Let X(t) = [is proportional to]t-[infinity]f(t-s) dZ(s) be a symmetric stable moving average process of index [alpha], 1 0 slowly as x [downwards arrow] 0, then almost every sample function of X(t), , is a Janik (J1) function with infinite [gamma]-variation, [gamma][set membership, variant][1, [alpha]).

Keywords: stable; processes; moving; average; processes; local; time; Jarnik; functions; Holder; condition; [gamma]-variations (search for similar items in EconPapers)
Date: 1992
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