Benutzer: Gast  Login
Titel:

Fractional Lévy processes with an application to long memory moving average processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Marquardt, T.
Abstract:
Starting from the moving average (MA) integral representation of fractional Brownian motion (FBM), the class of fractional Lévy processes (FLPs) is introduced by replacing the Brownian motion by a general Lévy process with zero mean, finite variance and no Brownian component. We present different methods of constructing FLPs and study second-order and sample path properties. FLPs have the same second-order structure as FBM and, depending on the Lévy measure, they are not always semimartingales....     »
Stichworte:
CARMA process, fractional integration, fractional Levy process, long memory, Levy process, stochastic integration
Zeitschriftentitel:
Bernoulli
Jahr:
2006
Band / Volume:
12
Heft / Issue:
6
Seitenangaben Beitrag:
1009-1126
Reviewed:
ja
Sprache:
en
Semester:
SS 06
Format:
Text
 BibTeX