论文标题
具有长期依赖性和分数多项式分布的有限状态固定过程
A finite-state stationary process with long-range dependence and fractional multinomial distribution
论文作者
论文摘要
我们提出了一个离散的时间，有限状态的固定过程，可以具有远程依赖性。该过程的有趣特征之一是，每个状态都可以具有不同的长期依赖性，即指标序列可以在不同状态下具有不同的HURST索引。同样，每个状态的到达时间都遵循重型尾巴分布，不同的状态显示出不同的尾巴行为。该过程的可能应用是建模过度分散的多项式分布。特别是，我们从模型中定义了分数多项式分布。
We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can have different Hurst index for different states. Also, inter-arrival time for each state follows heavy tail distribution, with different states showing different tail behavior. A possible application of this process is to model over-dispersed multinomial distribution. In particular, we define fractional multinomial distribution from our model.
