Pith. sign in

REVIEW 2 cited by

Fractional iterated Ornstein-Uhlenbeck Processes

Not yet reviewed by Pith; the record is open.

Re-run · record.json Download PDF Read on arXiv ↗

This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.

SPECIMEN: schema-true, not a live event

T0 review · schema-true

One-sentence machine reading of the paper's core claim.

pith:XXXXXXXX · record.json · timestamp

arxiv 1709.07143 v1 pith:ZFXHUZTA submitted 2017-09-21 math.ST stat.TH

Juan Kalemkerian This is my paper · ORCID
classification math.STstat.TH
keywords processesfractionalcombinationiterationlinearmemoryornstein-uhlenbeckresults
verification ladder T0 review T1 audit T2 compute T3 formal

Signed reviews

No signed human review yet.

0 comments
abstract

In this work we present a Gaussian process that arise from the iteration of p fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian motion. This iteration results, when the values of lambdas are pairwise differents, in a particular linear combination of those processes. Although for $H>1/2$ each term of the linear combination is a long memory processes, we prove that it results in a short memory processes. We include applications to real data that show improvement in predictive performance compared with different ARMA models.

Discussion (0). Continue with ORCID to comment.

Forward citations

Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. An Independence Test Based on Recurrence Rates

    math.ST 2019-08 conditional novelty 6.0 of 10

    The authors propose a Cramér-von Mises type test of independence built on the difference between joint and product recurrence rates, and prove its asymptotic behavior and consistency.

  2. Option Pricing with Time-Changed Fractional Brownian Motion: A Fractional Variance Gamma Model

    q-fin.MF 2026-08 conditional novelty 5.0 of 10

    A gamma time-changed fractional Brownian motion is a semimartingale, and the resulting five-parameter fractional Variance Gamma model fits S&P 500 return moments with H≈0.45.

Pith tools