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Dynamic models of long-memory processes driven by Levy Noise

Heyde, C C; Anh, Phan Thi Vang; Leonenko, N N

Description

A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the seco

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/92579
Source: Journal of Applied Probability
DOI: 10.1239/jap/1037816015

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