On the long range dependence of time-changed generalized mixed fractional Brownian motion
Probability
2023-01-10 v1
Abstract
We introduce a generalized mixed fractional Brownian motion (gmfBm) as a linear combination of two independent fractional Brownian motions with possibly different Hurst indices and investigate conditions under which the time-changed gmfBm exhibit long range dependence when the time-change is induced by a tempered stable subordinator or a Gamma process.
Keywords
Cite
@article{arxiv.2301.02787,
title = {On the long range dependence of time-changed generalized mixed fractional Brownian motion},
author = {B. L. S. Prakasa Rao},
journal= {arXiv preprint arXiv:2301.02787},
year = {2023}
}