Parameter Estimation for Tempered Fractional Time Series

نویسندگان

  • Farzad Sabzikar
  • A. Ian McLeod
  • Mark M. Meerschaert
چکیده

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

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Parameter Estimation for Artfima Time Series

The ARTFIMA model applies a tempered fractional difference to the standard ARMA time series. This paper develops parameter estimation methods for the ARTFIMA model, and demonstrates a new R package. Several examples illustrate the utility of the method.

متن کامل

Tempered fractional calculus

Fractional derivatives and integrals are convolutions with a power law. Multiplying by an exponential factor leads to tempered fractional derivatives and integrals. Tempered fractional diffusion equations, where the usual second derivative in space is replaced by a tempered fractional derivative, govern the limits of random walk models with an exponentially tempered power law jump distribution....

متن کامل

Invariance Principle for Tempered Fractional Time Series

We establish weak convergence of partial sums of tempered fractional time series (TFTS) to a stochastic process which we call a tempered Gaussian Hermite process (TGHP). We also introduce the Wiener integral with respect to TGHP, and establish weak convergence of weighted sums of TFTS to this Wiener integral.

متن کامل

FracFit: A robust parameter estimation tool for fractional calculus models

Anomalous transport cannot be adequately described with classical Fickian advectiondispersion equations (ADE) with constant coefficients. Rather, fractional calculus models may be used, which capture salient features of anomalous transport (e.g., skewness and power law tails). FracFit is a parameter estimation tool based on space-fractional and time-fractional models used by the hydrology commu...

متن کامل

Tempered Fractional Stable Motion

Tempered fractional stable motion adds an exponential tempering to the power-law kernel in a linear fractional stable motion, or a shift to the power-law filter in a harmonizable fractional stable motion. Increments from a stationary time series that can exhibit semi-long-range dependence. This paper develops the basic theory of tempered fractional stable processes, including dependence structu...

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

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2017