Optimal approximations of power-laws with exponentials

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We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models.
4 pages, 4 figures, small modifications

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Data Analysis, Statistics and Probability, Statistical Mechanics, Physics and Society, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209078

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0605149
 http://arxiv.org/abs/physics/0605149

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arXiv