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Linear fractional stable sheets: Wavelet expansion and sample path properties

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  • Ayache, Antoine
  • Roueff, François
  • Xiao, Yimin

Abstract

In this paper we give a detailed description of the random wavelet series representation of real-valued linear fractional stable sheet introduced in [A. Ayache, F. Roueff, Y. Xiao, Local and asymptotic properties of linear fractional stable sheets, C.R. Acad. Sci. Paris Ser. I. 344 (6) (2007) 389-394]. By using this representation, in the case where the sample paths are continuous, an anisotropic uniform and quasi-optimal modulus of continuity of these paths is obtained as well as an upper bound for their behavior at infinity and around the coordinate axes. The Hausdorff dimensions of the range and graph of these stable random fields are then derived.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:4:p:1168-1197
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    References listed on IDEAS

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    1. Biermé, Hermine & Meerschaert, Mark M. & Scheffler, Hans-Peter, 2007. "Operator scaling stable random fields," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 312-332, March.
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    Cited by:

    1. Li, Ming, 2017. "Record length requirement of long-range dependent teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 164-187.
    2. Hamonier, Julien, 2015. "Linear Multifractional Stable Motion: Representation via Haar basis," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 1127-1147.
    3. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
    4. Antoine Ayache & Geoffrey Boutard, 2017. "Stationary Increments Harmonizable Stable Fields: Upper Estimates on Path Behaviour," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1369-1423, December.
    5. Panigrahi, Snigdha & Roy, Parthanil & Xiao, Yimin, 2021. "Maximal moments and uniform modulus of continuity for stable random fields," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 92-124.
    6. Ayache, Antoine, 2020. "Lower bound for local oscillations of Hermite processes," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4593-4607.
    7. Li, Ming & Li, Jia-Yue, 2017. "Generalized Cauchy model of sea level fluctuations with long-range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 309-335.
    8. Li, Ming, 2020. "Multi-fractional generalized Cauchy process and its application to teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    9. Neuman, Eyal, 2014. "The multifractal nature of Volterra–Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3121-3145.

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