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Asymptotic dependence of stable self-similar processes of Chentsov type

Piotr S. Kokoszka
Murad S. Taqqu

Abstract:

This paper studies the asymptotic dependence structure of self-similar symmetric -stable random processes of Chentsov type with . The results allow us to easily verify that Chentsov type processes are different from many other self-similar symmetric -stable processes with stationary increments.