Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes

DOI10.3150/18-BEJ1086zbMATH Open1466.60116arXiv1806.07657OpenAlexW3003169868MaRDI QIDQ2295017FDOQ2295017

Authors: Yanyan Li 

Publication date: 12 February 2020

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces stationary processes with hyperbolically decaying autocovariance functions. The model departs from the usual way of incorporating this type of long-range dependence into a short-memory model as it is obtained by applying a fractional filter to the drift term rather than to the noise term. The advantages of this approach are that the corresponding long-range dependent solutions are semimartingales and the local behavior of the sample paths is unaffected by the degree of long memory. We prove existence and uniqueness of solutions to the SFDDEs and study their spectral densities and autocovariance functions. Moreover, we define a subclass of SFDDEs which we study in detail and relate to the well-known fractionally integrated CARMA processes. Finally, we consider the task of simulating from the defining SFDDEs.

Full work available at URL: https://arxiv.org/abs/1806.07657

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zbMATH Keywords

long-range dependencestochastic differential equationssemimartingalesmoving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cited In (3)

• Statistical inference for stochastic differential equations
• Stochastic delay differential equations and related autoregressive models
• Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes

Uses Software

• longmemo

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