期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 387, 期 1, 页码 123-133出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2007.08.016
关键词
Ornstein-Uhlenbeck process; alpha-Stable distribution; long-range dependence; Noah effect; Joseph effect
We consider five fractional generalizations of the Markovian alpha-stable Ornstein-Uhlenbeck process and explore the dependence structure of these stochastic models. Since the variance of alpha-stable distributed random variables is infinite, we describe the dependence structure of the introduced processes in the language of the function called codifference. We present exact formulas for the asymptotic behavior of codifference and answer the question of long-range dependence property (Joseph effect) for the discussed fractional a-stable models. We show that the fractional Ornstein-Uhlenbeck processes can display both Noah and Joseph effect. (c) 2007 Elsevier B.V. All rights reserved.
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