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Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems

Author

Listed:
  • Luis G. Gorostiza

    (Departamento de Mathematicas, Centro de Investigacion y de Estudios Avanzados, LRSP)

  • Reyla A. Navarro

    (Departamento de Fisica y Mathematicas, Universidad de Las Americas)

  • Eliane R. Rodrigues

    (Instituto de Mathematicas, UNAM)

Abstract

Several long-range dependence, self-similar Gaussian processes arise from asymptotics of some classes of spatially distributed particle systems and superprocesses. The simplest examples are fractional Brownian motion and sub-fractional fractional Brownian motion, the latter being intermediate between Brownian motion and fractional Brownian motion. In this paper we focus mainly on long-range dependence processes that arise from occupation time fluctuations of immigration particle systems with or without branching, and we study their properties. Some long-range dependence non-Gaussian processes that appear in a similar way are also mentioned.

Suggested Citation

  • Luis G. Gorostiza & Reyla A. Navarro & Eliane R. Rodrigues, 2004. "Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems," RePAd Working Paper Series lrsp-TRS401, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0232005
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    References listed on IDEAS

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    More about this item

    Keywords

    long-range dependence; long memory; self-similar Gaussian process; fractional Brownian motion; sub-fractional Brownian motion; branching particle system; immigration; superprocess; occupation time; fluctuation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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