A Cautionary note on modeling with fractional Lévy flights

Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Lévy flights which are inherently problematic.

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Year of publication:	2008
Authors:	Heyde, C.C. ; Sly, Allan
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 21, p. 5024-5032
Publisher:	Elsevier
Subject:	Self-similar \| Multifractal \| Fractional Levy flights

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872527