Tempered Hermite process

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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Main Author: Farzad Sabzikar
Format: Article
Language:English
Published: VTeX 2015-09-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Discrete chaos
limit theorem
Wiener–Itô integral
Fourier transform
Online Access:https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA34
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spelling doaj-aaa9918ce89e40ada45d05700915a9632020-11-24T21:56:44ZengVTeXModern 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
collection DOAJ
language English
format Article
sources DOAJ
author Farzad Sabzikar
spellingShingle Farzad Sabzikar
Tempered Hermite process
Modern Stochastics: Theory and Applications
Discrete chaos
limit theorem
Wiener–Itô integral
Fourier transform
author_facet Farzad Sabzikar
author_sort Farzad Sabzikar
title Tempered Hermite process
title_short Tempered Hermite process
title_full Tempered Hermite process
title_fullStr Tempered Hermite process
title_full_unstemmed Tempered Hermite process
title_sort tempered hermite process
publisher VTeX
series Modern Stochastics: Theory and Applications
issn 2351-6046
2351-6054
publishDate 2015-09-01
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.
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
_version_ 1725857425312972800

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