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
收藏
页码：432 / 438
页数：7
相关论文
共 50 条
  • [31] A stochastic model of long-range interacting particles
    Gupta, Shamik
    Dauxois, Thierry
    Ruffo, Stefano
    JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 2013,
  • [32] Stochastic implications for long-range rainfall predictions
    B. G. Hunt
    M. R. Dix
    Climate Dynamics, 2017, 49 : 4189 - 4200
  • [33] Stochastic Mortality Model with Respect to Mixed Fractional Poisson Process: Calibration and Empirical Analysis of Long-Range Dependence in Actuarial Valuation
    Zhang, Zhehao
    Jiang, Haoran
    Zhu, Xiaojun
    SSRN, 2023,
  • [34] Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation
    Jiang, Haoran
    Zhang, Zhehao
    Zhu, Xiaojun
    INSURANCE MATHEMATICS & ECONOMICS, 2024, 119 : 64 - 92
  • [35] Stochastic implications for long-range rainfall predictions
    Hunt, B. G.
    Dix, M. R.
    CLIMATE DYNAMICS, 2017, 49 (11-12) : 4189 - 4200
  • [36] Evidence of Long-Range Dependence in Power Grid
    Shalalfeh, L.
    Bogdan, P.
    Jonckheere, E.
    2016 IEEE POWER AND ENERGY SOCIETY GENERAL MEETING (PESGM), 2016,
  • [37] Long-range dependence and rational Gaussian noise
    Yang, Yipeng
    STATISTICS, 2024, 58 (02) : 364 - 382
  • [38] Nonparametric test for causality with long-range dependence
    Hidalgo, J
    ECONOMETRICA, 2000, 68 (06) : 1465 - 1490
  • [39] Bayesian semiparametric inference on long-range dependence
    Liseo, B
    Marinucci, D
    Petrella, L
    BIOMETRIKA, 2001, 88 (04) : 1089 - 1104
  • [40] Long-range dependence at the disk drive level
    Riska, Alma
    Riedel, Erik
    QEST 2006: THIRD INTERNATIONAL CONFERENCE ON THE QUANTITATIVE EVALUATION OF SYSTEMS, 2006, : 41 - +
12345