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Morlanes, 2017 - Google Patents

Mixed Models as an Alternative to Farima

Morlanes, 2017

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Document ID
724007324732007712
Author
Morlanes J
Publication year
Publication venue
arXiv preprint arXiv:1712.03044

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Snippet

We construct a new process using a fractional Brownian motion and a fractional Ornstein- Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process …
Continue reading at arxiv.org (PDF) (other versions)

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