Wyłomańska, Agnieszka; Chechkin, Aleksei; Gajda, Janusz; … - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 412-429
Correlation and spectral analysis represent the standard tools to study interdependence in statistical data. However, for the stochastic processes with heavy-tailed distributions such that the variance diverges, these tools are inadequate. The heavy-tailed processes are ubiquitous in nature and...