Characterization of linear and harmonizable fractional stable motions

Stamatis Cambanis, Makoto Maejima and Gennady Samorodnitsky

Stochastic Processes and their Applications, 1992, vol. 42, issue 1, 91-110

Abstract: We characterize the linear and harmonizable fractional stable motions as the self-similar stable processes with stationary increments whose left-equivalent (or right-equivalent) stationary processes are moving averages and harmonizable respectively.

Keywords: self-similar; processes; stable; processes; linear; and; harmonizable; fractional; stable; motions (search for similar items in EconPapers)
Date: 1992
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