Stochastic models for fractal processes

V. V. Anh; C. C. Heyde; Q. Tieng

doi:10.1016/s0378-3758(98)00246-8

Stochastic models for fractal processes

V. V. Anh^*, C. C. Heyde, Q. Tieng

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

This paper considers the situation where a stochastic process may display both long-range dependence (LRD) and intermittency. The existence of such a process is established in Anh et al. (1999). Existing works have commonly paid attention either to LRD or intermittency quite separately. This paper offers a convenient framework to study both effects simultaneously. A method is given to estimate and separate the two effects. The wavelet theory plays an essential role in this procedure. Numerical experiments on fractional Brownian motion and multiplicative cascade processes confirm the power of the method.

Original language	English
Pages (from-to)	123-135
Number of pages	13
Journal	Journal of Statistical Planning and Inference
Volume	80
Issue number	1
DOIs	https://doi.org/10.1016/s0378-3758(98)00246-8
Publication status	Published - 1 Aug 1999

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N2 - This paper considers the situation where a stochastic process may display both long-range dependence (LRD) and intermittency. The existence of such a process is established in Anh et al. (1999). Existing works have commonly paid attention either to LRD or intermittency quite separately. This paper offers a convenient framework to study both effects simultaneously. A method is given to estimate and separate the two effects. The wavelet theory plays an essential role in this procedure. Numerical experiments on fractional Brownian motion and multiplicative cascade processes confirm the power of the method.

AB - This paper considers the situation where a stochastic process may display both long-range dependence (LRD) and intermittency. The existence of such a process is established in Anh et al. (1999). Existing works have commonly paid attention either to LRD or intermittency quite separately. This paper offers a convenient framework to study both effects simultaneously. A method is given to estimate and separate the two effects. The wavelet theory plays an essential role in this procedure. Numerical experiments on fractional Brownian motion and multiplicative cascade processes confirm the power of the method.

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JO - Journal of Statistical Planning and Inference

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Stochastic models for fractal processes

Abstract

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