Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7378848 | Physica A: Statistical Mechanics and its Applications | 2016 | 21 Pages |
Abstract
This work is devoted to the study of modeling geophysical and financial time series. We propose a stochastic differential equation arising from the superposition of independent Ornstein-Uhlenbeck processes driven by a Î(a,b) process. Superposition of independent Î(a,b) Ornstein-Uhlenbeck processes offers analytic flexibility and provides a class of continuous time processes capable of exhibiting long memory behavior. The stochastic differential equation is applied to geophysics and finance by fitting the superposed Î(a,b) Ornstein-Uhlenbeck model to typical geophysical and financial time series.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Maria C. Mariani, Osei K. Tweneboah,