Optimal approximations of power-laws with exponentials
classification
⚛️ physics.data-an
cond-mat.stat-mechphysics.soc-phq-fin.ST
keywords
exponentialsapplicationsapproximateapproximationsaveragesdiscussedexplicitfinite
read the original 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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