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arXiv · 2301.02787

On the long range dependence of time-changed generalized mixed fractional Brownian motion

B. L. S. Prakasa Rao
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Abstract

We introduce a generalized mixed fractional Brownian motion (gmfBm) as a linear combination of two independent fractional Brownian motions with possibly different Hurst indices and investigate conditions under which the time-changed gmfBm exhibit long range dependence when the time-change is induced by a tempered stable subordinator or a Gamma process.

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B. L. S. Prakasa Rao. 2023-01-07. On the long range dependence of time-changed generalized mixed fractional Brownian motion. https://arxiv.org/abs/2301.02787

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