On the long-range dependence of fractional Poisson and negative binomial processes
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Publication:2956504
DOI10.1017/JPR.2016.59zbMATH Open1355.60052arXiv1601.05177OpenAlexW2345771457MaRDI QIDQ2956504FDOQ2956504
Authors: Aditya Maheshwari, P. Vellaisamy 
Publication date: 17 January 2017
Published in: Journal of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1601.05177
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22)
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