期刊名称：Journal of Statistical Theory and Applications (JSTA)
电子版ISSN：1538-7887
出版年度：2020
卷号：19
期号：3
页码：432-438
DOI：10.2991/jsta.d.200923.001
语种：English
出版社：Atlantis Press
摘要：In this paper, we introduce a fractional Generalized Hyperbolic process, a new stochastic process with long-range dependence obtained by subordinating fractional Brownian motion to a fractional Generalized Inverse Gaussian process. The basic properties and covariance structure between the elements of the processes are discussed, and we present numerical methods to generate the sample paths for the processes.
