Optimal approximations of power-laws with exponentials

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dc.creatorBochud, Thierry
dc.creatorChallet, Damien
dc.date2006-05-17
dc.date2006-05-30
dc.date.accessioned2026-07-07T12:07:45Z
dc.date.available2026-07-07T12:07:45Z
dc.descriptionWe 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.
dc.description4 pages, 4 figures, small modifications
dc.identifierhttps://arxiv.org/abs/physics/0605149
dc.identifierhttp://arxiv.org/abs/physics/0605149
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209078
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Mechanics
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleOptimal approximations of power-laws with exponentials
dc.typetext

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