A Cautionary note on modeling with fractional Lévy flights

C. C. Heyde; Allan Sly

doi:10.1016/j.physa.2008.05.029

A Cautionary note on modeling with fractional Lévy flights

C. C. Heyde, Allan Sly

Research output: Contribution to journal › Article › peer-review

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 language	English (US)
Pages (from-to)	5024-5032
Number of pages	9
Journal	Physica A: Statistical Mechanics and its Applications
Volume	387
Issue number	21
DOIs	https://doi.org/10.1016/j.physa.2008.05.029
State	Published - Sep 1 2008
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Condensed Matter Physics

Keywords

Fractional Levy flights
Multifractal
Self-similar

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10.1016/j.physa.2008.05.029

Cite this

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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 L{\'e}vy 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 L{\'e}vy flights which are inherently problematic.",

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AU - Sly, Allan

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AB - 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.

KW - Fractional Levy flights

KW - Multifractal

KW - Self-similar

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JO - Physica A: Statistical Mechanics and its Applications

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ER -

A Cautionary note on modeling with fractional Lévy flights

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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