2023•arXiv (Cornell University)Open access
On the long range dependence of time-changed generalized mixed fractional Brownian motion
Б. Л. С. Пракаса Рао
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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.
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