Modeling and simulation with operator scaling
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References listed on IDEAS
- Meerschaert, Mark M. & Scalas, Enrico, 2006. "Coupled continuous time random walks in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 114-118.
- Loretan, Mico & Phillips, Peter C. B., 1994.
"Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets,"
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Elsevier, vol. 1(2), pages 211-248, January.
- Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers 9208, Wisconsin Madison - Social Systems.
- Meerschaert, Mark M. & Xiao, Yimin, 2005. "Dimension results for sample paths of operator stable Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 55-75, January.
- Meerschaert, Mark M. & Alan Veeh, Jeery, 1995. "Symmetry groups in d-space," Statistics & Probability Letters, Elsevier, vol. 22(1), pages 1-6, January.
- Meerschaert, Mark M. & Scheffler, Hans-Peter, 2008. "Triangular array limits for continuous time random walks," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1606-1633, September.
- Sato, Ken-iti, 1987. "Strictly operator-stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 22(2), pages 278-295, August.
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- repec:eee:spapps:v:128:y:2018:i:1:p:39-78 is not listed on IDEAS
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KeywordsLévy processes Gaussian approximation Shot noise series expansions Simulation Tempered stable processes Operator stable processes;
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