On the long-range dependence of fractional Poisson and negative binomial processes
From MaRDI portal
Abstract: We study the long-range dependence (LRD) of the increments of the fractional Poisson process (FPP), the fractional negative binomial process (FNBP) and the increments of the FNBP. We first point out an error in the proof of Theorem 1 of Biard and Saussereau (2014) and prove that the increments of the FPP has indeed the short-range dependence (SRD) property, when the fractional index satisfies . We also establish that the FNBP has the LRD property, while the increments of the FNBP possesses the SRD property.
Recommendations
Cites work
- A fractional generalization of the Poisson processes
- Distributional properties of the negative binomial Lévy process
- Fractional Negative Binomial and Polya Processes
- Fractional Poisson process
- Fractional Poisson process: long-range dependence and applications in ruin theory
- Fractional Poisson processes and related planar random motions
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 6521379 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- On defining long-range dependence
- The fractional Poisson process and the inverse stable subordinator
- Time dependent random fields on spherical non-homogeneous surfaces
Cited in
(35)- On the long-range dependence of mixed fractional Poisson process
- Recent developments on fractional point processes
- Generalized fractional counting process
- Skellam and time-changed variants of the generalized fractional counting process
- Adaptive efficient estimation for generalized semi-Markov big data models
- Subordinated compound Poisson processes of order \(k\)
- Generalized Bernoulli process with long-range dependence and fractional binomial distribution
- Optimal layer reinsurance for compound fractional Poisson model
- Fractional Poisson process time-changed by Lévy subordinator and its inverse
- Fractional Poisson process: long-range dependence and applications in ruin theory - Correction
- Fractional Negative Binomial and Polya Processes
- Limit theorems for the fractional nonhomogeneous Poisson process
- Convoluted fractional Poisson process
- Time-changed space-time fractional Poisson process
- Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator
- Adomian Decomposition Method and Fractional Poisson Processes: A Survey
- Time-changed Poisson processes of order k
- Non-homogeneous space-time fractional Poisson processes
- Convoluted fractional Poisson process of order k
- Fractional processes and their statistical inference: an overview
- On the Gaussian Volterra processes with power-type kernels
- Tempered space fractional negative binomial process
- Generalized Fractional Negative Binomial Process
- On a time-changed variant of the generalized counting process
- Fractional Skellam process of order k
- Generalized iterated Poisson process and applications
- Generalized fractional risk process
- Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
- A unified approach to compound Poisson process and its time-fractional versions
- A class of self-similar processes indexed by R+×Cbn+1(R+)
- Tempered fractional Hawkes process and its generalizations
- Tempered space-time fractional negative binomial process
- Lévy processes with jumps governed by lower incomplete gamma subordinator and its variations
- Non-homogeneous and time-changed versions of generalized counting processes
- Probability of ruin within finite time and Cramér-Lundberg inequality for fractional risk processes
This page was built for publication: On the long-range dependence of fractional Poisson and negative binomial processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2956504)
