|
|
|
|
| LEADER |
01584nam a2200217Ia 4500 |
| 001 |
10.1088-1751-8121-ac5b92 |
| 008 |
220425s2022 CNT 000 0 und d |
| 020 |
|
|
|a 17518113 (ISSN)
|
| 245 |
1 |
0 |
|a Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
|
| 260 |
|
0 |
|b IOP Publishing Ltd
|c 2022
|
| 856 |
|
|
|z View Fulltext in Publisher
|u https://doi.org/10.1088/1751-8121/ac5b92
|
| 520 |
3 |
|
|a We present here the autoregressive tempered fractionally integrated moving average (ARTFIMA) process obtained by taking the tempered fractional difference operator of the non-Gaussian stable noise. The tempering parameter makes the ARTFIMA process stationary for a wider range of the memory parameter values than for the classical autoregressive fractionally integrated moving average, and leads to semi-long range dependence and transient anomalous behavior. We investigate ARTFIMA dependence structure with stable noise and construct Whittle estimators. We also introduce the stable Yaglom noise as a continuous version of the ARTFIMA model with stable noise. Finally, we illustrate the usefulness of the ARTFIMA process on a trajectory from the Golding and Cox experiment. © 2022 The Author(s). Published by IOP Publishing Ltd.
|
| 650 |
0 |
4 |
|a codifference
|
| 650 |
0 |
4 |
|a stable distribution
|
| 650 |
0 |
4 |
|a tempered fractional calculus
|
| 650 |
0 |
4 |
|a Whittle method
|
| 650 |
0 |
4 |
|a Yaglom noise
|
| 700 |
1 |
|
|a Burnecki, K.
|e author
|
| 700 |
1 |
|
|a Kabala, J.
|e author
|
| 700 |
1 |
|
|a Sabzikar, F.
|e author
|
| 773 |
|
|
|t Journal of Physics A: Mathematical and Theoretical
|
