Correlation cascades of Lévy-driven random processes

We explore the correlation-structure of a large class of random processes, driven by non-Gaussian Lévy noise sources with possibly infinite variances. Examples of such processes include Lévy motions, Lévy-driven Ornstein–Uhlenbeck motions, Lévy-driven moving-average processes, fractional Lévy motions, and fractional Lévy noises.

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Year of publication:	2007
Authors:	Eliazar, Iddo ; Klafter, Joseph
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 376.2007, C, p. 1-26
Publisher:	Elsevier
Subject:	Non-Gaussian Lévy noises \| Stable Lévy noises \| Self-similarity \| Fractality \| Lévy Correlation Cascades \| Long-range dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010874022