Generalized Bernoulli process with long-range dependence and fractional binomial distribution

Fractional Processes with Long-range Dependence

Abstract. We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients. We a...

Generalized Binomial Expansions and Bernoulli Polynomials

In this paper we investigate generalized binomial expansions that arise from two-dimensional sequences satisfying a broad generalization of the triangular recurrence for binomial coefficients. In particular, we present a new combinatorial formula for such sequences in terms of a ’shift by rank’ quasi-expansion based on ordered set partitions. As an application, we give a new proof of Dilcher’s ...

Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory

We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes. AMS 2000 subject classifications: Primary 60G22, 60G55, 91B30; ...

Short Range and Long Range Dependence

In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...

On Hypergeometric Generalized Negative Binomial Distribution