Dilatively semistable stochastic processes

DOI10.1016/J.SPL.2015.01.008MaRDI QIDQ2344873zbMATH OpenOpenAlexFDO

Authors Lina Wedrich, Peter Kern

Publication date 18 May 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.2727

zbMATH Keywords

aggregation modelsdecomposability groupdilative semi-stabilityfractional Lévy processessemi-selfsimilarity

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension of dilative stability and some examples of dilatively semistable processes are given. We further characterize dilatively stable and dilatively semistable processes as limits for certain rescaled aggregations of independent processes.

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Cites work

• Convergence of scaled renewal processes and a packet arrival model
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Cited in

(5)

• Fejér processes with diminishing disturbances
• Semi-selfsimilar processes
• Dilated fractional stable motions
• An integral representation of dilatively stable processes with independent increments
• Dilatively stable stochastic processes and aggregate similarity

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