Dilatively semistable stochastic processes

Peter Kern and Lina Wedrich

Statistics & Probability Letters, 2015, vol. 99, issue C, 101-108

Abstract: Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension of dilative stability and some examples of dilatively semistable processes are given. We further characterize dilatively stable and dilatively semistable processes as limits for certain rescaled aggregations of independent processes.

Keywords: Dilative stability; Semi-selfsimilarity; Decomposability group; Fractional Lévy processes; Aggregation models (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.01.008

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