{"title":"A New Stochastic Process with Long-Range Dependence","authors":"Sung Ik Kim, Y. S. Kim","doi":"10.2991/jsta.d.200923.001","DOIUrl":null,"url":null,"abstract":"In this paper, we introduce a fractional Generalized Hyperbolic process, a new stochastic process with long-range dependence obtained by subordinating fractional Brownianmotion to a fractionalGeneralized InverseGaussian 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.","PeriodicalId":45080,"journal":{"name":"Journal of Statistical Theory and Applications","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Statistical Theory and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2991/jsta.d.200923.001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we introduce a fractional Generalized Hyperbolic process, a new stochastic process with long-range dependence obtained by subordinating fractional Brownianmotion to a fractionalGeneralized InverseGaussian 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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
