Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series

100%

Magdziarz M., Weron A.

Studia Mathematica

2007

tom 181

nr 1

47-60

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.

Ograniczanie wyników

1 Studia Mathematica

1 Magdziarz M.

1 Weron A.

1 2007

Wyniki wyszukiwania

Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series