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Title: On layered stable processes
Authors: Houdré, Christian
Kawai, Reiichiro
First Published: 2007
Publisher: Bernoulli Society for Mathematical Statistics & Probability
Citation: Bernoulli, 2007, 13 (1), pp. 252-278.
Abstract: Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, over short intervals it is close to a stable process, while over long intervals it approximates another stable (possibly Gaussian) process. The absolute continuity of a layered stable process with respect to its short-range limiting stable process is also investigated. A series representation of layered stable processes is derived, giving insights into the structure both of the sample paths and of the short- and long-range behaviours of the process. This series representation is further used for simulation of sample paths.
DOI Link: 10.3150/07-BEJ5034
ISSN: 1350-7265
Type: Article
Rights: This is the author's final draft of the paper published as Bernoulli, 2007, 13 (1), pp. 252-278. The final version is available from Doi: 10.3150/07-BEJ5034
Appears in Collections:Published Articles, Dept. of Mathematics

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