Henrik
Reputation
758
Next privilege 1,000 Rep.
Create new tags
 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 $(\delta \gamma)- \delta (\gamma^{1/\kappa} + 2 \theta)^\kappa$