Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence

G. L. Feltes; S. R. C. Lopes

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arXiv · 2011.06067

Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence

G. L. Feltes·S. R. C. Lopes

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Abstract

Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here, we study a class of L\'evy process whose second-order moments are infinite, the so-called $\alpha$-stable processes. Based on Samorodnitsky and Taqqu (2000), we construct an isometry that allows us to define stochastic integrals concerning the linear fractional stable motion using Riemann-Liouville fractional integrals. With this construction, follows naturally an integration by parts formula. We then present a family of stationary $S\alpha S$ processes with the property of long-range dependence, using a generalized measure to investigate its dependence structure. In the end, the law of large number's result for a time's sample of the process is shown as an application of the isometry and integration by parts formula.

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BibTeX RIS

G. L. Feltes, S. R. C. Lopes. 2020-11-11. Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence. https://arxiv.org/abs/2011.06067

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