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Stochastic models for fractal processes

Anh, Phan Thi Vang; Heyde, C C; Tieng, Quang


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]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: Journal of Statistical Planning and Inference


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