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On local fluctuations of stable moving average processes

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  • Soltani, A. Reza

Abstract

Let X(t) = [is proportional to]t-[infinity]f(t-s) dZ(s) be a symmetric stable moving average process of index [alpha], 1 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]).

Suggested Citation

  • Soltani, A. Reza, 1992. "On local fluctuations of stable moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 111-118, August.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:1:p:111-118
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