Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129974 | Statistics & Probability Letters | 2017 | 9 Pages |
Abstract
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 Hâ(nâ1,n), similar to the n-FBM case.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
J. Gajda, A. WyÅomaÅska, A. Kumar,