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Asymptotic dependence of moving average type self-similar stable random Fields*

Published online by Cambridge University Press:  22 January 2016

Piotr S. Kokoszka  and
Murad S. Taqqu
Piotr S. Kokoszka
Affiliation:
Boston University, Department of Mathematics, 111 Cummington Street, Boston, MA 02215-2411, USA, Email: [email protected]
Murad S. Taqqu
Affiliation:
Boston University, Department of Mathematics, 111 Cummington Street, Boston, MA 02215-2411, USA, Email: [email protected]
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As non-Gaussian stable stochastic processes have infinite second moments, one cannot use the covariance function to describe their dependence structure.

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 130 , June 1993 , pp. 85 - 100
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1993

Footnotes

*

The first author is on leave from the Hugo Steinhaus Center, Poland. The second author was partially supported by the ONR Grant N00014-90-J-1287 at Boston University and by a grant of the United States-Israel Binational Science Foundation.

References

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[6] Levy, J. and Taqqu, M. S., A characterization of the asymptotic behavior of stationary stable processes, In Samorodnitsky, G. Cambanis, S. and Taqqu, M. S., editors, Stable Processes and Related Topics, volume 25 of Progress in Probability, pages 181–198, Boston, 1991. Birkhäuser.Google Scholar
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