Journal of Statistical Theory and Applications

Volume 19, Issue 3, September 2020, Pages 432 - 438

A New Stochastic Process with Long-Range Dependence

Authors
Sung Ik Kim1, *, ORCID, Young Shin Kim2
1College of Business, Louisiana State University Shreveport, 1 University Place, Shreveport, LA 71115, USA
2College of Business, Stony Brook University, 100 Nicolls Road., Stony Brook, NY 11794, USA
*Corresponding author. Email: sung.kim@lsus.edu
Corresponding Author
Sung Ik Kim
Received 10 June 2020, Accepted 15 September 2020, Available Online 6 October 2020.
DOI
10.2991/jsta.d.200923.001How to use a DOI?
Keywords
Generalized hyperbolic process; Lévy process; Time-changed Brownian motion; Long-range dependence; Fractional Brownian motion
Abstract

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.

Copyright
© 2020 The Authors. Published by Atlantis Press B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

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Journal
Journal of Statistical Theory and Applications
Volume-Issue
19 - 3
Pages
432 - 438
Publication Date
2020/10/06
ISSN (Online)
2214-1766
ISSN (Print)
1538-7887
DOI
10.2991/jsta.d.200923.001How to use a DOI?
Copyright
© 2020 The Authors. Published by Atlantis Press B.V.
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - JOUR
AU  - Sung Ik Kim
AU  - Young Shin Kim
PY  - 2020
DA  - 2020/10/06
TI  - A New Stochastic Process with Long-Range Dependence
JO  - Journal of Statistical Theory and Applications
SP  - 432
EP  - 438
VL  - 19
IS  - 3
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.d.200923.001
DO  - 10.2991/jsta.d.200923.001
ID  - Kim2020
ER  -