Fractional iterated Ornstein-Uhlenbeck Processes
Statistics Theory
2017-09-22 v1 Statistics Theory
Abstract
In this work we present a Gaussian process that arise from the iteration of p fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian motion. This iteration results, when the values of lambdas are pairwise differents, in a particular linear combination of those processes. Although for each term of the linear combination is a long memory processes, we prove that it results in a short memory processes. We include applications to real data that show improvement in predictive performance compared with different ARMA models.
Cite
@article{arxiv.1709.07143,
title = {Fractional iterated Ornstein-Uhlenbeck Processes},
author = {Juan Kalemkerian},
journal= {arXiv preprint arXiv:1709.07143},
year = {2017}
}