In the present work, we introduce the $n$th-Order subfractional Brownian motion $S_H^n = \lbrace S_H^n(t),~t\geq 0\rbrace$ with Hurst index $H\in (n-1,n)$ and order $n\geq 1$; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for $S_H^n$ is also established.
Gaussian self-similar process non Markovian process subfractional Brownian motion semimartingale property local law of the iterated logarithm
Birincil Dil | İngilizce |
---|---|
Konular | İstatistik |
Bölüm | İstatistik |
Yazarlar | |
Erken Görünüm Tarihi | 22 Haziran 2023 |
Yayımlanma Tarihi | 31 Ekim 2023 |
Yayımlandığı Sayı | Yıl 2023 Cilt: 52 Sayı: 5 |