Tempered Fractional Stable Motion

被引：16

作者：

Meerschaert, Mark M. ^{[1
]}

Sabzikar, Farzad ^{[1
]}

机构：

[1] Michigan State Univ, Dept Stat & Probabil, E Lansing, MI 48823 USA

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2016年 / 29卷 / 02期

基金：

美国国家科学基金会;

关键词：

Stable process; Fractional calculus; Long-range dependence; Local times; Sample paths; Local nondeterminism; PATH PROPERTIES;

D O I：

10.1007/s10959-014-0585-5

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：

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.

引用

页码：681 / 706

页数：26

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