| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525796 | Statistics & Probability Letters | 2013 | 7 Pages |
Abstract
Tempered fractional Brownian motion (TFBM) modifies the power law kernel in the moving average representation of a fractional Brownian motion, adding an exponential tempering. Tempered fractional Gaussian noise (TFGN), the increments of TFBM, form a stationary time series that can exhibit semi-long range dependence. This paper develops the basic theory of TFBM, including moving average and spectral representations, sample path properties, and an application to modeling wind speed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mark M. Meerschaert, Farzad Sabzikar,