一种新的具有长期相关性的随机过程

IF 1 Q3 Mathematics

Journal of Statistical Theory and Applications Pub Date : 2020-10-01 DOI:10.2991/jsta.d.200923.001

Sung Ik Kim, Y. S. Kim

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引用次数: 0

摘要

本文引入了分数阶广义双曲过程，它是将分数阶布朗运动隶属于分数阶广义逆高斯过程而得到的一种新的具有远程依赖的随机过程。讨论了过程元素的基本性质和协方差结构，给出了生成过程样本路径的数值方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A New Stochastic Process with Long-Range Dependence

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.

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来源期刊

Journal of Statistical Theory and Applications STATISTICS & PROBABILITY-

CiteScore

2.30

自引率

0.00%

发文量

审稿时长

13 weeks