Tempered Hermite process

DOI10.15559/15-VMSTA34zbMATH Open1352.60035arXiv1601.01108MaRDI QIDQ340791FDOQ340791

Authors: Farzad Sabzikar 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $lambda>0$ such that the process is well defined for Hurst parameter $H>frac12$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process.

Full work available at URL: https://arxiv.org/abs/1601.01108

Recommendations

• Tempered Mittag-Leffler Lévy processes
• Tempered stable distributions and processes
• scientific article; zbMATH DE number 6401580
• Tempered infinitely divisible distributions and processes
• Hermite expansions of some tempered distributions
• Generalized tempered stable processes
• Tempered space fractional negative binomial process
• Hermite expansions and products of tempered distributions
• Gaussian and hermite Ornstein–Uhlenbeck processes
• Tempered fractional Brownian motion

zbMATH Keywords

Fourier transformweak limit theoremdiscrete chaostempered Hermite process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Wiener-It%EF%BF%BD%EF%BF%BD+integral&go=Go Wiener-It�� integral]

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Large sample inference for long memory processes
• Convergence of integrated processes of arbitrary Hermite rank
• Noncentral limit theorems and Appell polynomials
• Title not available (Why is that?)
• Stochastic-Process Limits
• Title not available (Why is that?)
• Non-central limit theorems for non-linear functional of Gaussian fields
• Title not available (Why is that?)
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• Time series: Theory and methods
• Inequalities for modified Bessel functions and their integrals
• Integration questions related to fractional Brownian motion
• Tempered fractional calculus
• Stochastic models for fractional calculus
• Generalized Hermite processes, discrete chaos and limit theorems
• Semi-Stable Stochastic Processes
• Tempered fractional Brownian motion
• Stochastic integration for tempered fractional Brownian motion
• Bounds for modified Bessel functions of the first and second kinds
• Convergence of weighted sums of random variables with long-range dependence.
• On a class of self-similar processes
• Title not available (Why is that?)

Cited In (2)

• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing

This page was built for publication: Tempered Hermite process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q340791)