Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
Sign Up to like & getrecommendations! Published in 2019 at "Economics Letters"
DOI: 10.1016/j.econlet.2019.05.031
Abstract: Abstract We propose a filtration technique for making inference in systems with I ( 0 ) and I ( d ) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the… read more here.
Keywords: variables using; using fractionally; fractionally integrated; model ... See more keywords
Invariance Principles for Tempered Fractionally Integrated Processes
Sign Up to like & getrecommendations! Published in 2017 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2017.11.004
Abstract: Abstract We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in α -stable ( 1 α ≤ 2 ) i.i.d. innovations and related tempered linear processes with vanishing tempering parameter lim N →… read more here.
Keywords: fractionally integrated; principles tempered; invariance principles; tempered fractionally ... See more keywords
Galerkin finite element approximation of a stochastic semilinear fractional subdiffusion with fractionally integrated additive noise
Sign Up to like & getrecommendations! Published in 2021 at "Ima Journal of Numerical Analysis"
DOI: 10.1093/imanum/drab035
Abstract: A Galerkin finite element method is applied to approximate the solution of a semilinear stochastic space and time fractional subdiffusion problem with the Caputo fractional derivative of the order $ \alpha \in (0, 1)$, driven… read more here.
Keywords: fractionally integrated; fractional subdiffusion; galerkin finite; finite element ... See more keywords