How close are time series to power tail Lévy diffusions?

DOI10.1063/1.4986496OpenAlexW2609495146WikidataQ39015574 ScholiaQ39015574MaRDI QIDQ4644249FDOQ4644249

Authors Tania Kosenkova, Adam Hugh Monahan, Jan M. Gairing, Michael Högele

Publication date 30 May 2018

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.06100

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

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Cites work

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Cited in

(5)

• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• The first passage problem for stable linear delay equations perturbed by power law Lévy noise
• Bispectral unfolding of the skewness of correlated additive and multiplicative noise processes
• Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
• How close are time series to power tail L\'evy diffusions?

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