A Cautionary note on modeling with fractional Levy flights

被引：9

作者：

Heyde, C. C. ^{[2
,3
]}

Sly, Allan ^{[1
]}

机构：

[1] Univ Calif Berkeley, Dept Stat, Berkeley, CA 94720 USA

[2] Columbia Univ, New York, NY 10027 USA

[3] Australian Natl Univ, Canberra, ACT 0200, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 21期

关键词：

self-similar; multifractal; fractional Levy flights;

D O I：

10.1016/j.physa.2008.05.029

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Levy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of multifractality. We argue that it is unnecessary to consider truncated fractional Levy flights which are inherently problematic. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：5024 / 5032

页数：9

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