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arXiv · 1601.01108

Tempered Hermite process

Farzad Sabzikar
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Abstract

A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda>0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process.

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Farzad Sabzikar. 2016-01-06. Tempered Hermite process. https://doi.org/10.15559/15-vmsta34

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