How close are time series to power tail Lévy diffusions?

DOI10.1063/1.4986496MaRDI QIDQ4644249zbMATH OpenOpenAlexWikidataFDO

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

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

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Cites work

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• scientific article; zbMATH DE number 1639833 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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• Stochastic models of the meridional overturning circulation: time scales and patterns of variability
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• Uniform Central Limit Theorems

Cited in

(5)

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

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