Continuous-time fractional ARMA processes

M. C. Viano, C. Deniau and G. Oppenheim

Statistics & Probability Letters, 1994, vol. 21, issue 4, 323-336

Abstract: The field of discrete-time fractional ARMA processes is now of longstanding interest. However, to the best of the author's knowledge, continuous time fractional ARMA processes have not yet been defined. This paper defines such a family, and proves several probabilistic results concerning the memory of these processes and the regularity properties of their sample functions.

Keywords: Brownian; motion; Fractional; filter; Long; memory; processes; Laplace; transform; Hausdorff; dimension; Sample; function (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (6)

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