Correlation Structure of Time-Changed Generalized Mixed Fractional Brownian Motion

The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independent fractional Brownian motions with different Hurs...

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Bibliographic Details

Published in:	Fractal and Fractional
Main Author:	Ezzedine Mliki
Format:	Article
Language:	English
Published:	MDPI AG 2023-07-01
Subjects:	fractional Brownian motion generalized mixed fractional Brownian motion long-range dependence tempered stable subordinator gamma process
Online Access:	https://www.mdpi.com/2504-3110/7/8/591