Stochastic analysis of GSB process | Zendy

Vladica Stojanović | Zendy; Biljana Popović | Zendy; Predrag M. Popović | Zendy

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Stochastic analysis of GSB process

Author(s) -

Vladica Stojanović,

Biljana Popović,

Predrag M. Popović

Publication year - 2014

Publication title -

publications de l institut mathematique

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.246

H-Index - 17

eISSN - 1820-7405

pISSN - 0350-1302

DOI - 10.2298/pim1409149s

Subject(s) - generalization , mathematics , stochastic process , process (computing) , sequence (biology) , stationary process , series (stratigraphy) , ornstein–uhlenbeck process , continuous time stochastic process , computer science , mathematical analysis , statistics , paleontology , biology , genetics , operating system

We present a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, noise indicator. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.

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