Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
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fractionally integrated moving average stable processeslinear fractional stable motionlong-range dependence
Topological spaces with richer structures (54E99) Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: Long memory processes driven by L'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here, we study a class of L'evy process whose second-order moments are infinite, the so-called -stable processes. Based on Samorodnitsky and Taqqu (2000), we construct an isometry that allows us to define stochastic integrals concerning the linear fractional stable motion using Riemann-Liouville fractional integrals. With this construction, follows naturally an integration by parts formula. We then present a family of stationary processes with the property of long-range dependence, using a generalized measure to investigate its dependence structure. In the end, the law of large number's result for a time's sample of the process is shown as an application of the isometry and integration by parts formula.
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Cited in
(9)- Long-memory stable {O}rnstein-{U}hlenbeck processes
- Synthesis of bidimensional -stable models with long-range dependence
- Power-law shot noise and its relationship to long-memory -stable processes
- Long memory process and heavy-tailed distribution
- Long range dependence for stable random processes
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- McKean-Vlasov stochastic differential equations driven by fractional stable processes: well-posedness, propagation of chaos, averaging principle
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