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Mar
10
awarded  Civic Duty
Mar
2
comment Necessary sufficient condition for correlation between last 2 out of 3 normal random variables.
This is beautiful! Have you found this out yourself? - if so could you give a pointer to where to start otherwise can you provide a reference?
Feb
23
accepted Proof that time integral of OU process is not Markov while together with the integrand it is.
Feb
23
asked Proof that time integral of OU process is not Markov while together with the integrand it is.
Oct
26
accepted Role of cumulants in expression for truncation of characteristic function.
Sep
16
awarded  Popular Question
Jul
28
comment Bounded L2 increments for an Ornstein Uhlenbeck type process
@saz Given this does not seem to be possible, I am interested in the case with different constants now as well :)
Jul
16
comment Bounded L2 increments for an Ornstein Uhlenbeck type process
@saz The requirement is that they coincide. The assumption is on page 7.
Jul
12
revised Bounded L2 increments for an Ornstein Uhlenbeck type process
added 319 characters in body
Jul
2
asked Bounded L2 increments for an Ornstein Uhlenbeck type process
Jun
21
awarded  Benefactor
Jun
21
comment Role of cumulants in expression for truncation of characteristic function.
hmm. Okay. Maybe there just is not a more satisfactory explanation. It just seems a bit like handwaving to say: It works in the normal distribution to do this. To take account for other situations we add another measure of dispersion in a similar way and hope it works.
Jun
20
comment Role of cumulants in expression for truncation of characteristic function.
Certainly its simply me who is misunderstanding something. I cant see what $c_4$ has to do with anything or more why it enters in this specific way. That is for me the sentence could just has well been: "Since the Levy process ... and fat tails we multiply with $\pi^3/2$".
Jun
20
comment Role of cumulants in expression for truncation of characteristic function.
Thank you for your answer. How does higher cumulants help with fat tails?
Jun
14
awarded  Promoter
Jun
14
revised Role of cumulants in expression for truncation of characteristic function.
added 78 characters in body
Jun
12
revised Evaluate of $\int \frac{(a+bx)^k}{x} dx$
added 19 characters in body
Jun
12
comment Evaluate of $\int \frac{(a+bx)^k}{x} dx$
@Martigan No, unfortunately not. I will edit adding the asumption on $k$.
Jun
12
asked Evaluate of $\int \frac{(a+bx)^k}{x} dx$
Jun
11
asked Obtaining $\nu \log (1+\frac{\theta}{\alpha}) $ as limit of $(\delta \gamma)- \delta (\gamma^{1/\kappa} + 2 \theta)^\kappa$