Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
We introduce a fractional Langevin equation with α-stable noise and show that its solution ${Y_{κ}(t), t ≥ 0}$ is the stationary α-stable Ornstein-Uhlenbeck-type process recently studied by Taqqu and Wolpert. We examine the asymptotic dependence structure of $Y_{κ}(t)$ via the measure of its codependence r(θ₁,θ₂,t). We prove that $Y_{κ}(t)$ is not a long-memory process in the sense of r(θ₁,θ₂,t). However, we find two natural continuous-time analogues of fractional ARIMA time series with long memory in the framework of the Langevin equation.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
47-60
Opis fizyczny
Daty
wydano
2007
Twórcy
autor
- Hugo Steinhaus Center, Institute of Mathematics and Computer Science, Wrocław University of Technology, 50-370 Wrocław, Poland
autor
- Hugo Steinhaus Center, Institute of Mathematics and Computer Science, Wrocław University of Technology, 50-370 Wrocław, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-sm181-1-4