Kumar, A.; Meerschaert, Mark M.; Vellaisamy, P. - In: Statistics & Probability Letters 81 (2011) 1, pp. 146-152
A fractional normal inverse Gaussian (FNIG) process is a fractional Brownian motion subordinated to an inverse Gaussian process. This paper shows how the FNIG process emerges naturally as the limit of a random walk with correlated jumps separated by i.i.d. waiting times. Similarly, we show that...