Modern Stochastics: Theory and Applications

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Keywords: Discrete chaos

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Tempered Hermite process

Farzad Sabzikar

https://doi.org/10.15559/15-VMSTA34

Pub. online: 25 Sep 2015 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 2, Issue 4 (2015), pp. 327–341

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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