A New Stochastic Process with Long-Range Dependence

被引：0

作者：

Kim, Sung Ik ^{[1
]}

Kim, Young Shin ^{[2
]}

机构：

[1] Louisiana State Univ Shreveport, Coll Business, 1 Univ Pl, Shreveport, LA 71115 USA

[2] SUNY Stony Brook, Coll Business, 100 Nicolls Road, Stony Brook, NY 11794 USA

来源：

JOURNAL OF STATISTICAL THEORY AND APPLICATIONS | 2020年 / 19卷 / 03期

关键词：

Generalized hyperbolic process; Levy process; Time-changed Brownian motion; Long-range dependence; Fractional Brownian motion; MEMORY;

D O I：

10.2991/jsta.d.200923.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we introduce a fractional Generalized Hyperbolic process, a new stochastic process with long-range dependence obtained by subordinating fractional Brownian motion to a fractional Generalized Inverse Gaussian process. The basic properties and covariance structure between the elements of the processes are discussed, and we present numerical methods to generate the sample paths for the processes. (c) 2020 The Authors. Published by Atlantis Press B.V.

引用

页码：432 / 438

页数：7

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