dorsal/arxiv
View SchemaOptimal approximations of power-laws with exponentials
| Authors | Thierry Bochud, Damien Challet |
|---|---|
| Categories | |
| ArXiv ID | physics/0605149 |
| URL | https://arxiv.org/abs/physics/0605149 |
Abstract
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.
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"abstract": "We propose an explicit recursive method to approximate a power-law with a\nfinite sum of weighted exponentials. Applications to moving averages with long\nmemory are discussed in relationship with stochastic volatility models.",
"arxiv_id": "physics/0605149",
"authors": [
"Thierry Bochud",
"Damien Challet"
],
"categories": [
"physics.data-an",
"cond-mat.stat-mech",
"physics.soc-ph",
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"title": "Optimal approximations of power-laws with exponentials",
"url": "https://arxiv.org/abs/physics/0605149"
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