A New Stochastic Process with Long-Range Dependence

被引：0
|
作者：
Sung Ik Kim
Young Shin Kim
机构：
[1] Louisiana State University Shreveport,College of Business
[2] Stony Brook University,College of Business
来源：
Journal of Statistical Theory and Applications | 2020年 / 19卷
关键词：
Generalized hyperbolic process; Lévy process; Time-changed Brownian motion; Long-range dependence; Fractional Brownian motion;
D O I：
暂无
中图分类号：
学科分类号：
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.
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收藏
页码：432 / 438
页数：6
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