Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit proces...
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
VTeX
2023-12-01
|
| Serie: | Modern Stochastics: Theory and Applications |
| Soggetti: | |
| Accesso online: | https://www.vmsta.org/doi/10.15559/23-VMSTA237 |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|