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A Cautionary note on modeling with fractional Levy flights

Heyde, C C; Sly, Allan

Description

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

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/24430
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2008.05.029

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