Volume 19, Issue 3, September 2020, Pages 432 - 438
A New Stochastic Process with Long-Range Dependence
Authors
Sung Ik Kim1, *, , 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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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 -