A Cautionary note on modeling with fractional Lévy flights

C. C. Heyde, Allan Sly

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

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 Lévy 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 Lévy flights which are inherently problematic.

Original languageEnglish (US)
Pages (from-to)5024-5032
Number of pages9
JournalPhysica A: Statistical Mechanics and its Applications
Volume387
Issue number21
DOIs
StatePublished - Sep 1 2008
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Condensed Matter Physics

Keywords

  • Fractional Levy flights
  • Multifractal
  • Self-similar

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