Multifractal Analysis of Infinite Products of Stationary Jump Processes
نویسندگان
چکیده
منابع مشابه
Multifractal Analysis of Infinite Products of Stationary Jump Processes
There has been a growing interest in constructing stationary measures with known multifractal properties. In an earlier paper, the authors introduced the multifractal products of stochastic processes MPSP and provided basic properties concerning convergence, nondegeneracy, and scaling of moments. This paper considers a subclass of MPSP which is determined by jump processes with i.i.d. exponenti...
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Abstract: We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by Lévy motion and their finite and infinite superpositions. We present the general conditions for the Lq convergence of cumulative processes to the limiting processes and investigate their q-th order moments and R...
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The consideration of multifractal properties in network tra c has become a well-known issue in network performance evaluation. We analyze the performance of a uid ow bu er fed by multifractal tra c described by Norros, Mannersalo and Riedi [1]. We describe speci c steps in uid ow analysis, both for nite and in nite bu er sizes, and point out how to overcome numerical problems. We discuss perfor...
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Motivated by the need for multifractal processes with stationary in crements we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes We establish conditions for the L convergence and non degeneracy of the limit process in a general setting Proceeding then to multiply ing piecewise constant processes we proof continuity of ...
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ژورنال
عنوان ژورنال: Journal of Probability and Statistics
سال: 2010
ISSN: 1687-952X,1687-9538
DOI: 10.1155/2010/807491