Special case: Truncated Pareto distribution
CCDF FT(t) (draw a curve)
- FT(t) = ((t+?)/ ?)-?, if (t < Tc,), otherwise 0
Covariance ?(t) behaves asymptotically as t-?+1 when Tc ->?, implying {Xt} is asymptotically second-order self-similar with H = (3 - ?)/2. When Tc is finite, correlation drops to 0 at Tc. See next slide.