Fractional iterated Ornstein-Uhlenbeck Processes

We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck processes generated by the same fractional Brownian motion. When the values of the parameters defining the iteration are pairwise distinct, this iteration results in a particular linear combination of tho...

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Bibliographic Details

Main Author:	Kalemkerian, Juan (author)
Other Authors:	León, José Rafael (author)
Format:	article
Language:	English
Published:	2019
Subjects:	Fractional Brownian motion Fractional Ornstein-Uhlenbeck process Long memory processes.
Online Access:	https://hdl.handle.net/20.500.12008/28486
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