CONTINUOUS-TIME FRACTIONAL ARMA PROCESSES

被引：17

作者：

VIANO, MC

DENIAU, C

OPPENHEIM, G

机构：

[1] UNIV PARIS 11,STAT LAB,F-91405 ORSAY,FRANCE

[2] UNIV LILLE 1,F-59655 VILLENEUVE DASCQ,FRANCE

[3] UNIV LUMINY,GREQE,MARSEILLE,FRANCE

[4] UNIV MARNE VALLEE,EQUIPE ANAL & MATHE APPL,NOISY LE GRAND,FRANCE

来源：

STATISTICS & PROBABILITY LETTERS | 1994年 / 21卷 / 04期

关键词：

BROWNIAN MOTION; FRACTIONAL FILTER; LONG MEMORY PROCESSES; LAPLACE TRANSFORM; HAUSDORFF DIMENSION; SAMPLE FUNCTION;

D O I：

10.1016/0167-7152(94)00015-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The field of discrete-time fractional ARMA processes is now of longstanding interest. However, to the best of the author's knowledge, continuous time fractional ARMA processes have not yet been defined. This paper defines such a family, and proves several probabilistic results concerning the memory of these processes and the regularity properties of their sample functions.

引用

页码：323 / 336

页数：14

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