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Characterization of linear and harmonizable fractional stable motions

Author

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  • Cambanis, Stamatis
  • Maejima, Makoto
  • Samorodnitsky, Gennady

Abstract

We characterize the linear and harmonizable fractional stable motions as the self-similar stable processes with stationary increments whose left-equivalent (or right-equivalent) stationary processes are moving averages and harmonizable respectively.

Suggested Citation

  • Cambanis, Stamatis & Maejima, Makoto & Samorodnitsky, Gennady, 1992. "Characterization of linear and harmonizable fractional stable motions," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 91-110, August.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:1:p:91-110
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    Cited by:

    1. Wang, Yizao & Stoev, Stilian A. & Roy, Parthanil, 2012. "Decomposability for stable processes," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1093-1109.
    2. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

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