Long-range dependence through gamma-mixed Ornstein-Uhlenbeck process

zbMath0934.60030MaRDI QIDQ1304166

Gyorgy H. Terdik, Endre Iglói

Publication date: 10 October 1999

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/120195

zbMATH Keywords

stochastic differential equationspectral representationstationarityheart rate variabilityaggregational modelfractional Brownian motion input

Mathematics Subject Classification ID

Gaussian processes (60G15)

Related Items (6)

Unnamed Item ⋮ A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution ⋮ Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet ⋮ On the Structure and Estimation of Reflection Positive Processes ⋮ Superposition of Diffusions with Linear Generator and its Multifractal Limit Process ⋮ Spectral properties of superpositions of Ornstein-Uhlenbeck type processes

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