IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v32y1989i2p305-329.html
   My bibliography  Save this article

Two classes of self-similar stable processes with stationary increments

Author

Listed:
  • Cambanis, Stamatis
  • Maejima, Makoto

Abstract

Two disjoint classes of self similar symmetric stable processes with stationary increments are studied. The first class consists of linear fractional stable processes, which are related to moving average stable processes, and the second class consists of harmonizable fractional stable processes, which are connected to harmonizable stationary stable processes. The domain of attraction of the harmonizable fractional stable processes is also discussed.

Suggested Citation

  • Cambanis, Stamatis & Maejima, Makoto, 1989. "Two classes of self-similar stable processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 305-329, August.
    • Handle: RePEc:eee:spapps:v:32:y:1989:i:2:p:305-329
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(89)90082-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pipiras, Vladas & Taqqu, Murad S. & Abry, Patrice, 2003. "Can continuous-time stationary stable processes have discrete linear representations?," Statistics & Probability Letters, Elsevier, vol. 64(2), pages 147-157, August.
    2. Can, Sami Umut, 2014. "A class of asymptotically self-similar stable processes with stationary increments," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 3986-4011.
    3. Hsing, Tailen, 1995. "Limit theorems for stable processes with application to spectral density estimation," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 39-71, May.
    4. Marie-Eliette Dury & Bing Xiao, 2018. "Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models," Working Papers hal-01709321, HAL.
    5. Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark, 2018. "Estimation of the linear fractional stable motion," Working Papers 2018:3, Örebro University, School of Business.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:32:y:1989:i:2:p:305-329. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.