On the long range dependence of time-changed mixed fractional Brownian motion model
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A time-changed mixed fractional Brownian motion is an iterated process constructed as the superposition of mixed fractional Brownian motion and other process. In this paper we consider mixed fractional Brownian motion of parameters a, b and H∈(0, 1) time-changed by two processes, gamma and tempered stable subordinators. We present their main properties paying main attention to the long range dependence. We deduce that the fractional Brownian motion time-changed by gamma and tempered stable subordinators has long range dependence property for all H∈(0, 1).
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