Two classes of self-similar stable processes with stationary increments

Two disjoint classes of self similar symmetric stable processes with stationary increments are studied. The first class consists of linear fractional stable processes, which are related to moving average stable processes, and the second class consists of harmonizable fractional stable processes, which are connected to harmonizable stationary stable processes. The domain of attraction of the harmonizable fractional stable processes is also discussed.

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Year of publication:	1989
Authors:	Cambanis, Stamatis ; Maejima, Makoto
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 32.1989, 2, p. 305-329
Publisher:	Elsevier
Keywords:	self-similar processes stable processes linear and harmonizable fractional processes domain of attraction

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

Persistent link: https://www.econbiz.de/10008874696