Tomasz Bojdecki () (Institute of Mathematics, University of Warsaw) Luis G. Gorostiza () (Department of Mathematics, Centro de Investigacion y de Estudios Avanzados) Anna Talarczyk () (Institute of Mathematics, University of Warsaw)
Abstract
We study a long-range dependence Gaussian process which we call “sub-fractional Brownian motion” (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to those of fBm, but the increments on non-overlapping intervals are more weakly correlated and their covariance decays polynomially at a higher rate. Sub-fBm has a parameter h E (0, 2), we show how it arises from occupation time fluctuations of branching particle systems for h >= 1 and we exhibit the long memory effect of the initial condition.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number
lrsp-TRS376.
Length: 14 pages Date of creation: 15 Jun 2004 Date of revision: Handle: RePEc:pqs:wpaper:0132005
Contact details of provider: Postal: Pavillon Lucien Brault, 101 rue Saint Jean-Bosco, Gatineau (Qu�bec) J8Y 3G5 Phone: (819) 595-3900 Fax: (819) 773-1747 Web page: http://www.repad.org/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christian Calmes).
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
This paper has been announced in the following NEP Reports: