arXiv:1910.05854 Abstract | arXiv Analytics

arXiv:1910.05854 [math.PR]Abstract References Reviews Resources

On the Long-Range Dependence of Mixed Fractional Poisson Process

Published 2019-10-13Version 1

In this paper, we show that the mixed fractional Poisson process (MFPP) exhibits the long-range dependence (LRD) property. It is proved by establishing an asymptotic result for the covariance of inverse mixed stable subordinator. Also, it is shown that the increments of the MFPP, namely, the mixed fractional Poissonian noise (MFPN) has the short-range dependence (SRD) property.

Categories: math.PR

Subjects: 60G22, 60G55

Keywords: mixed fractional poisson process, long-range dependence, mixed fractional poissonian noise, short-range dependence, inverse mixed stable subordinator

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