Tempered Fractional Stable Motion
نویسندگان
چکیده
Tempered fractional stable motion adds an exponential tempering to the power-law kernel in a linear fractional stable motion, or a shift to the power-law filter in a harmonizable fractional stable motion. Increments from a stationary time series that can exhibit semi-long-range dependence. This paper develops the basic theory of tempered fractional stable processes, including dependence structure, sample path behavior, local times, and local nondeterminism.
منابع مشابه
On Fractional Tempered Stable Motion
Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but lighter than stable. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for sim...
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