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The fractional multivariate normal tempered stable process
- Source :
-
Applied Mathematics Letters . Dec2012, Vol. 25 Issue 12, p2396-2401. 6p. - Publication Year :
- 2012
-
Abstract
- Abstract: In this paper, the multivariate process having long-range dependency is presented. The process is defined by the time-changed fractional Brownian motion whose subordinator is given by the fractional tempered stable subordinator. The fractional tempered stable subordinator is a generalization of the non-decreasing tempered stable process with long-range dependence. The multivariate process allows for (1) the long-range dependence in the endogenous noise, (2) the long-range dependence in time or the volatility, (3) the fat-tailed marginal distribution, and (4) an asymmetric dependence structure between elements. Numerical methods to generating sample paths for the process are discussed. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 08939659
- Volume :
- 25
- Issue :
- 12
- Database :
- Academic Search Index
- Journal :
- Applied Mathematics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 79337528
- Full Text :
- https://doi.org/10.1016/j.aml.2012.07.011