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

DOI10.3150/BJ/1165269152zbMath1126.60038OpenAlexW2027012133MaRDI QIDQ2642806

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1165269152

zbMATH Keywords

long memory stochastic integration fractional Levy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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