Decomposability for stable processes

We characterize all possible independent symmetric α-stable (SαS) components of an SαS process, 0<α<2. In particular, we focus on stationary SαS processes and their independent stationary SαS components. We also develop a parallel characterization theory for max-stable processes.

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Year of publication:	2012
Authors:	Wang, Yizao ; Stoev, Stilian A. ; Roy, Parthanil
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 3, p. 1093-1109
Publisher:	Elsevier
Subject:	Sum-stable process \| Decomposition \| Minimal representation \| Mixed moving average \| Max-stable process

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

Persistent link: https://www.econbiz.de/10011064902