Optimal approximations of power-laws with exponentials

Thierry Bochud and Damien Challet

Papers from arXiv.org

Abstract: We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models.

Date: 2006-05, Revised 2006-05
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0605149

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