Université Paul Sabatier | Toulouse | |
CNRS U.M.R. C5583 | ||
Laboratoire de Statistique et Probabilités | ||
Auteur(s): Albert Benassi, Serge Cohen et Jacques Istas
Code(s) de Classification MSC:
Résumé: In this article the class of Real Harmonizable Fractional L\'evy Motions is introduced. It is shown that RHFLM share many properties with Fractional Brownian Motion. These fields are locally asymptotically self-similar with a constant index $ H,$ and have H\"olderian paths. Moreover the identification of $ H $ for RHFLM can be performed with the so-called generalized variation method. Besides the Fractional Brownian Motion this class contains non-Gaussian fields that are asymptotically self-similar at infinity with a Real Harmonizable Fractional Stable Motion of index $ \tilde{H} $ as tangent field. This last property should be useful to model phenomena with multiscale behavior.
Mots Clés: Identification, Local Asymptotic Self
Similarity, Second order fields, Stable fields.
Date: 2000-12-19
Prépublication numéro:
LSP-2000-20