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math.PR2022
Cauchy, normal and correlations versus heavy tails
Hui Xu, Joel Cohen, Richard Davis +1
A surprising result of Pillai and Meng (2016) showed that a transformation of two iid centered normal random vectors, and $(Y_1,\ldot…
math.PR2018
Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
Richard A. Davis, Mikkel Slot Nielsen, Victor Rohde
In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces…