On the long-range dependence of fractional Poisson and negative binomial processes

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Fractional Processes with Long-range Dependence

Abstract. We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients. We a...

متن کامل

Cornish-fisher Expansions for Poisson and Negative Binomial Processes

Negative binomial and Poisson processes {X(t), t ≥ 0} have cumulants proportional to the rate λ. So, formal Cornish-Fisher expansions in powers of λ−1/2 are available for their cumulative distribution function and quantiles. If T is an independent random variable with cumulants proportional to γ then the cumulants of X(T ) are proportional to γ; so, CornishFisher expansions in powers of γ−1/2 a...

متن کامل

On the Convergence of MMPP and Fractional ARIMA Processes with Long-Range Dependence to Fractional Brownian Motion

Though the various models proposed in the literature for capturing the long-range dependent nature of network traac are all either exactly or asymptotically second order self-similar, their eeect on network performance can be very diierent. We are thus motivated to characterize the limiting distributions of these models so that they lead to parsimonious modeling and a better understanding of ne...

متن کامل

ON MODALITY AND DIVISIBILITY OF POISSON AND BINOMIAL MIXTURES

Some structural aspects of mixtures, in general, have been previously investigated by the author in [I] and [2]. The aim of this article is to investigate some important structural properties of the special cases of Poisson and binomial mixtures in detail. Some necessary and sufficient conditions are arrived at for different modality and divisibility properties of a Poisson mixture based o...

متن کامل

Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory

We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes. AMS 2000 subject classifications: Primary 60G22, 60G55, 91B30; ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Applied Probability

سال: 2016

ISSN: 0021-9002,1475-6072

DOI: 10.1017/jpr.2016.59