central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional
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Long-range dependence (LRD) and non-Gaussianity are ubiquitous in many natural systems such as ecosystems, biological systems and climate. However, it is not always appreciated that the two phenomena may occur together in natural systems and that self-similarity in a system can be a superposition...
In this extended abstract, we make a first step towards a systematic approach in estimating self-similarity and long-range dependence. We present SELFIS, a javabased tool that will automate the self-similarity analysis. To our knowledge, our software tool is the first attempt...
Self-similarity and long-range dependence A random process X(t) (e.g., cumulative packet arrivals in time interval [0, t]), is said to be self-similar (SS), with scaling parameter of self-similarity or Hurst parameter H > 0, H∈R, ifX(t)=da-HX(at)for any a > 0, where = ...
Self-similar processes are indeed invariant under suitable scaling of space and time. In this study, we show that long-range dependence is an inherent feature of the seismic process, and is universal. Examination of series of cumulative seismic moment both in Italy and worldwide through Hurst’...
8.4, there may be a connection between the global long-range dependence in the dmbp-data and the local dependency structure in the tails, but note that the estimates in Fig. 8.4 are based on the pseudo-normalized data, so the information from the marginal distribution is not directly present...
1)long-range dependence长相关 1.Study on Long-Range Dependence Characteristics of MPEG-4 Traces;MPEG-4视频流长相关特性研究 2.We studied the critical characteristic and long-range dependence in the networks.提出了一种自组织的二维元胞自动机网络模型,并研究了网络中的临界特征和长相关特性。 3.Through...
Self-similarityLong-range dependenceHurst parameterFractional gaussian noiseMarkov modulated poisson processThis paper examines various techniques for estimating the intensity of Long-Range Dependence (LRD). Trial data sets with LRD are generated using Fractional Gaussian noise and Markov modulated Poisson ...
Linear processes Long memory Functional central limit theorem Self-similarity Hilbert space 1. Introduction In this paper, we study long-range dependent linear processes with values in a separable Hilbert space H. Given a sequence of bounded linear operators uj:H→H, j≥0 and a sequence of inde...