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An exactly solvable correlated stochastic process in finite time

Author

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  • Kim, Jongwook
  • Jo, Junghyo

Abstract

We propose a correlated stochastic process of which the novel non-Gaussian probability mass function is constructed by exactly solving moment generating function. The calculation of cumulants and auto-correlation shows that the process is convergent and scale invariant in the large but finite time limit. We demonstrate that the model infers the correlation strength in a discrete correlated time-series data, and predicts the data distribution with high precision in the finite time regime.

Suggested Citation

  • Kim, Jongwook & Jo, Junghyo, 2014. "An exactly solvable correlated stochastic process in finite time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 230-235.
    • Handle: RePEc:eee:phsmap:v:406:y:2014:i:c:p:230-235
    DOI: 10.1016/j.physa.2014.03.055
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