On the Long Range Dependence of Time-Changed Generalized Mixed Fractional Brownian Motion
We introduce a generalized mixed fractional Brownian motion (gmfBm) as a linear combination of n 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. AMS Subject Classification (2020): Primary 60G22
Authors
- Б. Л. С. Пракаса Рао (ORCID: https://orcid.org/0000-0002-9889-2304)
Institutions
- CR Rao Advanced Institute of Mathematics, Statistics and Computer Science (IN)
Publication Details
- Journal
- Calcutta Statistical Association Bulletin
- Published
- 2025-03-04
- DOI
- https://doi.org/10.1177/00080683251317814
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00