Short and Long Memory Fractional Ornstein-Uhlenbeck α-Stable Processes
Short and Long Memory Fractional Ornstein-Uhlenbeck α-Stable Processes
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Publisher
Philadelphia, PA: Taylor & Francis Group
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Language
English
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Publisher
Philadelphia, PA: Taylor & Francis Group
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Contents
We show that, similar to the Gaussian case, the fractional Ornstein-Uhlenbeck α-stable process obtained via the Lamperti transformation of the linear fractional stable motion is a different stationary process than the one defined as the solution of the Langevin equation driven by a linear fractional stable noise. We investigate the asymptotic depen...
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Full title
Short and Long Memory Fractional Ornstein-Uhlenbeck α-Stable Processes
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TN_cdi_pascalfrancis_primary_18987540
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_pascalfrancis_primary_18987540
Other Identifiers
ISSN
1532-6349
E-ISSN
1532-4214
DOI
10.1080/15326340701471091
