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A characterization of the asymptotic behavior
of stationary stable processes
Joshua B. Levy
Murad S. Taqqu
Abstract:
Let
be a stationary stable process and let
be the difference
between the joint characteristic function of
and the product of
the characteristic functions of
and
. The function
as
is a measure of asymptotic dependence. We analyze the
behavior of
as
for various stable stochastic
processes.