An exactly solvable correlated stochastic process in finite time

Jongwook Kim and Junghyo Jo

Physica A: Statistical Mechanics and its Applications, 2014, vol. 406, issue C, 230-235

Abstract: We propose a correlated stochastic process of which the novel non-Gaussian probability mass function is constructed by exactly solving moment generating function. The calculation of cumulants and auto-correlation shows that the process is convergent and scale invariant in the large but finite time limit. We demonstrate that the model infers the correlation strength in a discrete correlated time-series data, and predicts the data distribution with high precision in the finite time regime.

Keywords: Ehrenfest urn; Time-series data; Bayesian statistics (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:406:y:2014:i:c:p:230-235

DOI: 10.1016/j.physa.2014.03.055

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