Spectral type of some transformations of certain stochastic processes.
Mitrović, S. (1986)
Publications de l'Institut Mathématique. Nouvelle Série
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Mitrović, S. (1986)
Publications de l'Institut Mathématique. Nouvelle Série
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Gill, J., Salehi, H. (1988)
Publications de l'Institut Mathématique. Nouvelle Série
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Iglói, E., Terdik, G. (1999)
Electronic Journal of Probability [electronic only]
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K. Urbanik (1958)
Studia Mathematica
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Andrzej Makagon (1999)
Studia Mathematica
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A one-to-one correspondence between locally square integrable periodically correlated (PC) processes and a certain class of infinite-dimensional stationary processes is obtained. The correspondence complements and clarifies Gladyshev's known result [3] describing the correlation function of a continuous periodically correlated process. In contrast to Gladyshev's paper, the procedure for explicit reconstruction of one process from the other is provided. A representation of a PC process...
Kunze, M., Monteiro Marques, Manuel D.P. (1997)
Journal of Convex Analysis
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Zoran Ivković (1989)
Publications de l'Institut Mathématique
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Swift, Randall J. (2000)
Portugaliae Mathematica
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Ivković, Zoran (1989)
Publications de l'Institut Mathématique. Nouvelle Série
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M. M. Sysło (1974)
Applicationes Mathematicae
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André Arnold (1988)
Banach Center Publications
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Simon, Thomas (2000)
Electronic Communications in Probability [electronic only]
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J. M. Angulo Ibáñez, R. Gutiérrez Jáimez (1988)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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End Iglói, György Terdik (2003)
ESAIM: Probability and Statistics
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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....