Tempered Hermite process
Volume 2, Issue 4 (2015), pp. 327–341
Pub. online: 25 September 2015
Type: Research Article
Open Access
Open Access
Received
9 July 2015
9 July 2015
Revised
7 September 2015
7 September 2015
Accepted
11 September 2015
11 September 2015
Published
25 September 2015
25 September 2015
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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