Pregled bibliografske jedinice broj: 999742
Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator
Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator // Communications in statistics-theory and methods, 49 (2020), 20; 5091-5113 doi:10.1080/03610926.2019.1612918 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 999742 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Correlation properties of continuous-time
autoregressive processes delayed by the inverse
of the stable subordinator
Autori
Leonenko, Nikolai ; Papić, Ivan
Izvornik
Communications in statistics-theory and methods (0361-0926) 49
(2020), 20;
5091-5113
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Continuous-time autoregressive process, Lévy noise, Delayed stochastic process, Inverse of the stable subordinator, Mittag-Leffler function, Correlation structure
Sažetak
We define the delayed Lévy-driven continuous- time autoregressive process via the inverse of the stable subordinator. We derive correlation structure for the observed non-stationary delayed Lévy-driven continuous- time autoregressive processes of order p, emphasising low orders, and we show they exhibit long-range dependence property. Dis- tributional properties are discussed as well.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
