Linear Multifractional Stable Motion: Representation via Haar basis

The goal of this paper is to provide a wavelet series representation for Linear Multifractional Stable Motion (LMSM). Instead of using Daubechies wavelets, which are not given in closed form, we use a Haar wavelet, thus yielding a more explicit expression than that in Ayache and Hamonier (in press).

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Year of publication:	2015
Authors:	Hamonier, Julien
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 3, p. 1127-1147
Publisher:	Elsevier
Subject:	Approximation of processes \| Linear Fractional and Multifractional Stable Motions \| Wavelet series representations \| Haar system

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

Persistent link: https://www.econbiz.de/10011194129