A note on occupation times of stationary processes.
Kozlova, Marina, Salminen, Paavo (2005)
Electronic Communications in Probability [electronic only]
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Kozlova, Marina, Salminen, Paavo (2005)
Electronic Communications in Probability [electronic only]
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Maejima, Makoto, Yamamoto, Kenji (2003)
Electronic Journal of Probability [electronic only]
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Ken-Iti Sato, Toshiro Watanabe (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Iglói, E., Terdik, G. (1999)
Electronic Journal of Probability [electronic only]
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Van Zanten, Harry (2008)
Electronic Communications in Probability [electronic only]
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Anthony G. Pakes (1996)
Annales de la Faculté des sciences de Toulouse : Mathématiques
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Andrzej Makagon (1999)
Studia Mathematica
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A one-to-one correspondence between locally square integrable periodically correlated (PC) processes and a certain class of infinite-dimensional stationary processes is obtained. The correspondence complements and clarifies Gladyshev's known result [3] describing the correlation function of a continuous periodically correlated process. In contrast to Gladyshev's paper, the procedure for explicit reconstruction of one process from the other is provided. A representation of a PC process...
Ronan Le Guével, Jacques Lévy Véhel (2013)
ESAIM: Probability and Statistics
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Multistable processes, that is, processes which are, at each “time”, tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise Hölder...
André Arnold (1988)
Banach Center Publications
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Nikfar, M., Soltani, A.Reza (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Jan Rosiński, Jennifer L. Sinclair (2010)
Banach Center Publications
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This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including "modified tempered stable processes", "layered stable processes", and "Lamperti stable processes". Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS processes with respect to the underlying stable processes is established. Series representations of GTS Lévy...