Skip navigation
Skip navigation

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]

dc.contributor.authorAnh, Phan Thi Vang
dc.contributor.authorHeyde, C C
dc.contributor.authorTieng, Quang
dc.date.accessioned2015-12-13T23:41:27Z
dc.identifier.issn0378-3758
dc.identifier.urihttp://hdl.handle.net/1885/94907
dc.description.abstractThis 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.
dc.publisherElsevier
dc.sourceJournal of Statistical Planning and Inference
dc.titleStochastic models for fractal processes
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume80
dc.date.issued1999
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationMigratedxPub24614
local.type.statusPublished Version
local.contributor.affiliationAnh, Phan Thi Vang, Youth Publishing House
local.contributor.affiliationHeyde, C C, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationTieng, Quang, Queensland University of Technology
local.description.embargo2037-12-31
local.bibliographicCitation.issue1-2
local.bibliographicCitation.startpage123
local.bibliographicCitation.lastpage135
dc.date.updated2015-12-12T09:32:27Z
local.identifier.scopusID2-s2.0-0033175486
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Anh_Stochastic_models_for_fractal_1999.pdf180.7 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator