Multistable processes and localizability

Falconer, Kenneth John; Liu, Lining

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Date

2012

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Abstract

We use characteristic functions to construct alpha-multistable measures and integrals, where the measures behave locally like stable measures, but with the stability index alpha(x) varying with x. This enables us to construct alpha-multistable processes on R, that is processes whose scaling limit at time t is an alpha(t)-stable process. We present several examples of such multistable processes and examine their localisability.

Citation

Falconer , K J & Liu , L 2012 , ' Multistable processes and localizability ' , Stochastic Models , vol. 28 , no. 3 , pp. 503-526 . https://doi.org/10.1080/15326349.2012.699766

Publication

Stochastic Models

Status

Peer reviewed

DOI

https://doi.org/10.1080/15326349.2012.699766

ISSN

1532-6349

Type

Journal article

Rights

This is an Author's Accepted Manuscript of an article published in Stochastic Models, 2012 copyright Taylor & Francis, available online at: http://www.tandfonline.com/10.1080/15326349.2012.699766

Collections

University of St Andrews Research

URL

http://www.tandfonline.com/doi/abs/10.1080/15326349.2012.699766

URI

http://hdl.handle.net/10023/3560