Optimal approximations of power-laws with exponentials
Data Analysis, Statistics and Probability
2008-12-02 v2 Statistical Mechanics
Physics and Society
Statistical Finance
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.
Cite
@article{arxiv.physics/0605149,
title = {Optimal approximations of power-laws with exponentials},
author = {Thierry Bochud and Damien Challet},
journal= {arXiv preprint arXiv:physics/0605149},
year = {2008}
}
Comments
4 pages, 4 figures, small modifications