DOI 10.1007/s10959-014-0585-5 Tempered Fractional Stable Motion

Abstract Tempered fractional stable motion adds an exponential tempering to the power-law kernel in a linear fractional stable motion, or a shift to the power-law filter in a harmonizable fractional stable motion. Increments from a stationary time series that can exhibit semi-long-range dependence. This paper develops the basic theory of tempered fractional stable processes, including dependence structure, sample path behavior, local times, and local nondeterminism