کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129974 1489855 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized fractional Laplace motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Generalized fractional Laplace motion
چکیده انگلیسی

In this paper, a new stochastic process called generalized fractional Laplace motion (GFLM) is introduced. This process is obtained by superposition of nth-order fractional Brownian motion (n-FBM) as outer process and gamma process as inner process. It is shown that n-FBM process has long-range-dependence (LRD), persistence of signs LRD and persistence of magnitudes LRD properties. Distributional properties of GFLM such as probability density function, moments, covariance structure are established. The fractional partial differential equation governed by the GFLM density is obtained. Finally, it is shown that GFLM has LRD property for all H∈(n−1,n), similar to the n-FBM case.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 124, May 2017, Pages 101-109
نویسندگان
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