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Multistable processes and localisability (1007.4932v1)
Published 28 Jul 2010 in math.PR
Abstract: We use characteristic functions to construct alpha(x)-multistable measures and integrals, where the measures behave locally like alpha-stable measures, but with the stability index alpha(x) varying with time x. This enables us to construct alpha(x)-multistable processes on R, that is processes whose scaling limit at time x is an alpha(x)-stable process. We present several examples of such multistable processes and examine their localisability.
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