Displaying similar documents to “Linear distribution processes.”

A Gaussian oscillator.

Burdzy, Krzysztof, White, David (2004)

Electronic Communications in Probability [electronic only]

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Renormalization group of and convergence to the LISDLG process

Endre Iglói (2004)

ESAIM: Probability and Statistics

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The LISDLG process denoted by J ( t ) is defined in Iglói and Terdik [ESAIM: PS 7 (2003) 23–86] by a functional limit theorem as the limit of ISDLG processes. This paper gives a more general limit representation of J ( t ) . It is shown that process J ( t ) has its own renormalization group and that J ( t ) can be represented as the limit process of the renormalization operator flow applied to the elements of some set of stochastic processes. The latter set consists of IGSDLG processes which are generalizations...

Superposition of diffusions with linear generator and its multifractal limit process

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....

On calculation of stationary density of autoregressive processes

Jiří Anděl, Karel Hrach (2000)

Kybernetika

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An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.

Long memory and self-similar processes

Gennady Samorodnitsky (2006)

Annales de la faculté des sciences de Toulouse Mathématiques

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This paper is a survey of both classical and new results and ideas on long memory, scaling and self-similarity, both in the light-tailed and heavy-tailed cases.