A finite-state stationary process with long-range dependence and fractional multinomial distribution
Probability
2022-09-19 v1
Abstract
We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can have different Hurst index for different states. Also, inter-arrival time for each state follows heavy tail distribution, with different states showing different tail behavior. A possible application of this process is to model over-dispersed multinomial distribution. In particular, we define fractional multinomial distribution from our model.
Cite
@article{arxiv.2209.08081,
title = {A finite-state stationary process with long-range dependence and fractional multinomial distribution},
author = {Jeonghwa Lee},
journal= {arXiv preprint arXiv:2209.08081},
year = {2022}
}