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A Cautionary note on modeling with fractional Levy flights

Date

Authors

Heyde, C C

Sly, Allan

Publisher

Elsevier

Abstract

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

Keywords

Keywords: Complex systems; Elsevier (CO); Infinite variances; Linear scaling; Multifractality; Temporal scaling (TS) Fractional Levy flights; Multifractal; Self-similar

URI

http://hdl.handle.net/1885/24430

Collections

ANU Research Publications

Source

Physica A: Statistical mechanics and its applications

Type

Journal article

DOI

10.1016/j.physa.2008.05.029

Restricted until

2037-12-31

Downloads

File

Description

01_Heyde_A_Cautionary_note_on_modeling_2008.pdf (424.54 KB)

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