Tempered fractional Brownian motion: wavelet estimation, modeling and testing

DOI10.1016/j.acha.2019.11.004zbMath1461.62152arXiv1808.04935OpenAlexW2991460318MaRDI QIDQ2659747

Gustavo Didier, Farzad Sabzikar, B. Cooper Boniece

Publication date: 26 March 2021

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.04935

zbMATH Keywords

waveletsfractional Brownian motionturbulencetempered fractional Brownian motionsemi-long range dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

Related Items

A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations, On fractional Lévy processes: tempering, sample path properties and stochastic integration, How does tempering affect the local and global properties of fractional Brownian motion?

Uses Software

• DLMF
• artfima

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