# Superposition of Diffusions with Linear Generator and its Multifractal Limit Process

ESAIM: Probability and Statistics (2010)

- Volume: 7, page 23-88
- ISSN: 1292-8100

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topIglói, Endre, and Terdik, György. "Superposition of Diffusions with Linear Generator and its Multifractal Limit Process." ESAIM: Probability and Statistics 7 (2010): 23-88. <http://eudml.org/doc/104307>.

@article{Iglói2010,

abstract = {
In this paper a new multifractal stochastic process called Limit of the
Integrated Superposition of Diffusion processes with Linear differencial
Generator (LISDLG) is presented which realistically characterizes the network
traffic multifractality. Several properties of the LISDLG model are presented
including long range dependence, cumulants, logarithm of the characteristic
function, dilative stability, spectrum and bispectrum. The model captures
higher-order statistics by the cumulants. The relevance and validation of the
proposed model are demonstrated by real data of Internet traffic.
},

author = {Iglói, Endre, Terdik, György},

journal = {ESAIM: Probability and Statistics},

keywords = {Fractals; long range dependence; self-similarity; stationarity; higher
order
statistics; bispectrum; network traffic; superposition; diffusion processes;
CIR process; DLG process; square root process.; fractals; higher order statistics; CIR processes; square root process},

language = {eng},

month = {3},

pages = {23-88},

publisher = {EDP Sciences},

title = {Superposition of Diffusions with Linear Generator and its Multifractal Limit Process},

url = {http://eudml.org/doc/104307},

volume = {7},

year = {2010},

}

TY - JOUR

AU - Iglói, Endre

AU - Terdik, György

TI - Superposition of Diffusions with Linear Generator and its Multifractal Limit Process

JO - ESAIM: Probability and Statistics

DA - 2010/3//

PB - EDP Sciences

VL - 7

SP - 23

EP - 88

AB -
In this paper a new multifractal stochastic process called Limit of the
Integrated Superposition of Diffusion processes with Linear differencial
Generator (LISDLG) is presented which realistically characterizes the network
traffic multifractality. Several properties of the LISDLG model are presented
including long range dependence, cumulants, logarithm of the characteristic
function, dilative stability, spectrum and bispectrum. The model captures
higher-order statistics by the cumulants. The relevance and validation of the
proposed model are demonstrated by real data of Internet traffic.

LA - eng

KW - Fractals; long range dependence; self-similarity; stationarity; higher
order
statistics; bispectrum; network traffic; superposition; diffusion processes;
CIR process; DLG process; square root process.; fractals; higher order statistics; CIR processes; square root process

UR - http://eudml.org/doc/104307

ER -

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