Regularly varying correlation functions and KMO-Langevin equations
The author considers the linear stochastic delay equation \[ \dot X=-\int_{-\infty}^t \gamma(t-s)\dot X(s) ds+\alpha\dot B(t), \] where \(\alpha>0\), \(\dot B\) is a Gaussian white noise, and \(\gamma\colon(0,\infty)\to(0,\infty)\) is a function of the form \(\gamma(t)=\int_0^\infty \exp\{-t\lambda\} d\rho(\lambda)\), \(t>0\), where \(\rho\) is a Borel measure on \((0,\infty)\) such that \(\int_0^\infty(\lambda+1)^{-1} d\rho(\lambda)<\infty\). This equation is a variant of the so-called first KMO--Langevin equation introduced by Y. Okabe. In particular, the existence and uniqueness of a stationary solution is established for all \(\alpha>0\) and all measures \(\rho\) from a certain subclass \(C\). The main results of the paper, however, consist in a precise description of the asymptotic behavior of the correlation function \(R(t)=E[X(t)X(0)]\) in terms of \(\alpha\) and the asymptotic behavior of the kernel function \(\gamma\).
- Asymptotics for prediction errors of stationary processes with reflection positivity
- Asymptotics for the partial autocorrelation function of a stationary process
- Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- AR and MA representation of partial autocorrelation functions, with applications
- Explicit representation of finite predictor coefficients and its applications
- A Class of Antipersistent Processes
- scientific article; zbMATH DE number 4050664 (Why is no real title available?)
- scientific article; zbMATH DE number 91476 (Why is no real title available?)
- Langevins stochastic differential equation extended by a time-delayed term
- scientific article; zbMATH DE number 597380 (Why is no real title available?)
- Linear prediction of long-range dependent time series
This page was built for publication: Regularly varying correlation functions and KMO-Langevin equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1365130)
