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Fractional Laplace motion

Författare:
Publiceringsår: 2006
Språk: Engelska
Sidor: 451-464
Publikation/Tidskrift/Serie: Advances in Applied Probabilty
Volym: 38
Nummer: 2
Dokumenttyp: Artikel
Förlag: Applied Probability Trust

Sammanfattning

Fractional Laplace motion is obtained by subordinating fractional Brownian motion to a gamma process. Used recently to model hydraulic conductivity fields in geophysics, it may also prove useful in modeling financial time series. Its one dimensional distributions are scale mixtures of normal laws, where the stochastic variance has the generalized gamma distribution. These one dimensional distributions are more peaked at the mode than a Gaussian, and their tails are heavier. In this paper, we derive the basic properties of the process, including a new property called stochastic self-similarity. We also study the corresponding fractional Laplace noise, which may exhibit long-range dependence. Finally, we discuss practical methods for simulation.

Disputation

Nyckelord

  • Mathematics and Statistics
  • infinite divisibility
  • generalized gamma distribution
  • subordination
  • gamma process
  • scaling
  • self-similarity
  • long-range dependence
  • self-affinity
  • fractional Brownian motion
  • Compound process
  • G-type distribution

Övriga

Published
Yes
  • ISSN: 0001-8678

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