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Stochastic models for fractal processes

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dc.contributor.authorAnh, Phan Thi Vang
dc.contributor.authorHeyde, C C
dc.contributor.authorTieng, Quang
dc.date.accessioned2015-12-13T23:41:27Z
dc.date.issued1999
dc.date.updated2015-12-12T09:32:27Z
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.identifier.issn0378-3758
dc.identifier.urihttp://hdl.handle.net/1885/94907
dc.publisherElsevier
dc.sourceJournal of Statistical Planning and Inference
dc.titleStochastic models for fractal processes
dc.typeJournal article
local.bibliographicCitation.issue1-2
local.bibliographicCitation.lastpage135
local.bibliographicCitation.startpage123
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.contributor.authoruidHeyde, C C, u8606978
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationMigratedxPub24614
local.identifier.citationvolume80
local.identifier.scopusID2-s2.0-0033175486
local.type.statusPublished Version

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