On local fluctuations of stable moving average processes
Let X(t) = [is proportional to]t-[infinity]f(t-s) dZ(s) be a symmetric stable moving average process of index [alpha], 1 < [alpha] [less-than-or-equals, slant] 2. It is proved that when f has a jump discontinuity at a point or when f(x) --> 0 slowly as x [downwards arrow] 0, then almost every sample function of X(t), , is a Janik (J1) function with infinite [gamma]-variation, [gamma][set membership, variant][1, [alpha]).
Year of publication: |
1992
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Authors: | Soltani, A. Reza |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 42.1992, 1, p. 111-118
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Publisher: |
Elsevier |
Keywords: | stable processes moving average processes local time Jarnik functions Holder condition [gamma]-variations |
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