Stochastic models for fractal processes
Anh, Phan Thi Vang; Heyde, C C; Tieng, Quang
Description
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...[Show more]
Collections | ANU Research Publications |
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Date published: | 1999 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/94907 |
Source: | Journal of Statistical Planning and Inference |
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File | Description | Size | Format | Image |
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01_Anh_Stochastic_models_for_fractal_1999.pdf | 180.7 kB | Adobe PDF | Request a copy |
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