Optimal approximations of power-laws with exponentials

Details Optimal approximations of power-laws with exponentials Optimal approximations of power-laws with exponentials

2006-05-17

arxiv.org/abs/physics/0605149v2

Physics

Data Analysis, Statistics and Probability

4 pages, 4 figures, small modifications

Scientific paper

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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