An exactly solvable correlated stochastic process in finite time
作者： Jongwook Kim , Junghyo Jo
DOI: 10.1016/J.PHYSA.2014.03.055
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摘要: Abstract We propose a correlated stochastic process of which the novel non-Gaussian probability mass function is constructed by exactly solving moment generating function. The calculation cumulants and auto-correlation shows that convergent scale invariant in large but finite time limit. demonstrate model infers correlation strength discrete time-series data, predicts data distribution with high precision regime.
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