Results 251 to 260 of about 3,566,207 (291)

Max-stable processes

2020
The first class of regularly varying time series we will investigate is the class of max-stable processes. These processes can be viewed as ideal models of heavy tailed time series.
Rafał Kulik, Philippe Soulier
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Stationary min-stable stochastic processes

Probability Theory and Related Fields, 1984
We consider the class of stationary stochastic processes whose margins are jointly min-stable. We show how the scalar elements can be generated by a single realization of a standard homogeneous Poisson process on the upper half-strip \([0,1]\times R_+\) and a group of \(L_ 1-isometries\).
de Haan, L. F. M., Pickands, James III
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INFINITE VARIANCE STABLE ARMA PROCESSES

Journal of Time Series Analysis, 1994
Abstract. The asymptotic dependence structure of autoregressive moving‐average processes with stable innovations is analyzed. The analysis is carried out by means of a measure of dependence which extends the covariance function and is applicable to stochastic processes with infinite variance.
Kokoszka, Piotr S., Taqqu, Murad S.
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A Locally Stable Adjustment Process

Econometrica, 1995
A Walrasian adjustment process is an adjustment on prices such that the direction of price adjustment in any market is governed by the sign of the excess demand in that market. We shall say that such a process satisfies the Walrasian hypothesis. By now it is fairly well established that, in general, such an adjustment fails to attain competitive ...
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Harmonizable stable processes

Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1982
This paper examines properties of a class of complex-valued stable processes which have spectral representation by means of independent-increments processes. A representation is derived by an application of Schilder's stochastic integral. Also, another construction of harmonizable stable processes by means of generalized stochastic processes is given ...
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Continuous and discrete stable processes

Physical Review E, 2008
The one-sided Lévy-stable probability densities and the discrete-stable distributions form a doubly stochastic Poisson transform pair. This relationship facilitates the formulation of a class of continuous-stable stochastic processes.
W H, Lee, K I, Hopcraft, E, Jakeman
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Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes

Extremes, 2005
The paper is devoted to construction of extremal stochastic integrals by random \(\alpha\)-Fréchet sup-measures and investigation of their properties, specially, connections with \(\alpha\)-stable integrals. A r.v. \(\xi\) has \(\alpha\)-Fréchet distribution \(F(\alpha,\sigma)\) if \(P\{\xi\leq x\}=\exp(-\sigma^\alpha x^{-\alpha})\), \(x>0\).
Stoev, Stilian A., Taqqu, Murad S.
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Quantum Stable Process

2015
It is believed that in the long time limit, the limiting behavior of the discrete-time quantum random walk will cross from quantum to classical if we take into account of the decoherence. The computer simulation has already shown that for the discrete-time one-dimensional Hadamard quantum random walk with coin decoherence such that the measurement ...
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Stable processes of exchange

Journal of Mathematical Economics, 2008
The paper's concern is a study of exchange dynamics in an agent-based setting. Consumers can contact traders (who are responsible for coordination of exchange) in a process where realistic restrictions are imposed on information-flow among all market agents.
Reiter, Stanley, Maroulis, Spiro
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