A Study of the First-Order Continuous-Time Bilinear Processes Driven by Fractional Brownian Motion

The continuous-time bilinear (COBL) process has been used to model non linear and/or non Gaussian datasets. In this paper, the first-order continuous-time bilinear COBL (1, 1) model driven by a fractional Brownian motion (fBm for short) process is presented. The use of fBm processes with certain Hur...

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Bibliographic Details

Published in:	Journal of Statistical Theory and Applications (JSTA)
Main Authors:	Abdelouahab Bibi, Fateh Merahi
Format:	Article
Language:	English
Published:	Springer 2018-12-01
Subjects:	Continuous-time bilinear process Fractional movement Brownian Spectral representation Itô’s solution Long memory property.
Online Access:	https://www.atlantis-press.com/article/125905574/view