Dilatively semistable stochastic processes
Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension of dilative stability and some examples of dilatively semistable processes are given. We further characterize dilatively stable and dilatively semistable processes as limits for certain rescaled aggregations of independent processes.
Year of publication: |
2015
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Authors: | Kern, Peter ; Wedrich, Lina |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 101-108
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Publisher: |
Elsevier |
Subject: | Dilative stability | Semi-selfsimilarity | Decomposability group | Fractional Lévy processes | Aggregation models |
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