Tempered Hermite process
A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda >0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A tempered Hermite process is the weak converge...
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| Format: | Article |
| Language: | English |
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VTeX
2015-09-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA34 |
| _version_ | 1818193624890867712 |
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| author | Farzad Sabzikar |
| author_facet | Farzad Sabzikar |
| author_sort | Farzad Sabzikar |
| collection | DOAJ |
| description | A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda >0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process. |
| first_indexed | 2024-12-12T00:49:22Z |
| format | Article |
| id | doaj.art-aaa9918ce89e40ada45d05700915a963 |
| institution | Directory Open Access Journal |
| issn | 2351-6046 2351-6054 |
| language | English |
| last_indexed | 2024-12-12T00:49:22Z |
| publishDate | 2015-09-01 |
| publisher | VTeX |
| record_format | Article |
| series | Modern Stochastics: Theory and Applications |
| spelling | doaj.art-aaa9918ce89e40ada45d05700915a9632022-12-22T00:44:03ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542015-09-012432734110.15559/15-VMSTA34Tempered Hermite processFarzad Sabzikar0Department of Statistics, Iowa State University, Ames, IA 50010, USAA tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda >0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process.https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA34Discrete chaoslimit theoremWiener–Itô integralFourier transform |
| spellingShingle | Farzad Sabzikar Tempered Hermite process Modern Stochastics: Theory and Applications Discrete chaos limit theorem Wiener–Itô integral Fourier transform |
| title | Tempered Hermite process |
| title_full | Tempered Hermite process |
| title_fullStr | Tempered Hermite process |
| title_full_unstemmed | Tempered Hermite process |
| title_short | Tempered Hermite process |
| title_sort | tempered hermite process |
| topic | Discrete chaos limit theorem Wiener–Itô integral Fourier transform |
| url | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA34 |
| work_keys_str_mv | AT farzadsabzikar temperedhermiteprocess |