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Linear Multifractional Stable Motion: Representation via Haar basis

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  • Hamonier, Julien

Abstract

The goal of this paper is to provide a wavelet series representation for Linear Multifractional Stable Motion (LMSM). Instead of using Daubechies wavelets, which are not given in closed form, we use a Haar wavelet, thus yielding a more explicit expression than that in Ayache and Hamonier (in press).

Suggested Citation

  • Hamonier, Julien, 2015. "Linear Multifractional Stable Motion: Representation via Haar basis," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 1127-1147.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:3:p:1127-1147
    DOI: 10.1016/j.spa.2014.10.013
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    References listed on IDEAS

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    1. Ayache, Antoine & Roueff, François & Xiao, Yimin, 2009. "Linear fractional stable sheets: Wavelet expansion and sample path properties," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1168-1197, April.
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