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

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Author Info
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.

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File URL: http://www.repad.org/ca/on/lrsp/TRS401.pdf
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File Function: First version, 2004
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Publisher Info
Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number lrsp-TRS401.

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Length: 21 pages
Date of creation: 08 Jan 2004
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Handle: RePEc:pqs:wpaper:0232005

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Related research
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

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:

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This page was last updated on 2008-11-17.

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