Continuous-time fractional ARMA processes (Q1341364)
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English | Continuous-time fractional ARMA processes |
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Continuous-time fractional ARMA processes (English)
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9 January 1995
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Continuous-time fractional ARMA processes \((X_ t)\), \(t \geq 0\), are introduced by \[ X_ t = \int^ t _{-\infty} f(t - s) dW(s). \] Here, \((W(t))\) is a Brownian motion. The impulse response function \(f \in L^ 2(R^ +)\) has a Laplace transform \(F\) of the form \[ F(s) = \prod^ K_ 1 (s - a_ k)^{d_ k} \text{ if Re}(s) > a \] for certain parameters \(a_ k\) and \(d_ k\). The authors study the memory of such processes and the smoothness of their sample paths. Finally, these processes are compared with fractional Brownian motions.
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fractional filter
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continuous-time fractional ARMA processes
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impulse response function
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Laplace transform
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fractional Brownian motions
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