A new class of second order self-similar processes

A. Gefferth, D. Veitch, I. Ruzsa, I. Maricza, S. Molnár

Research output: Contribution to journalArticle

Abstract

Self-similarity in discrete second-order stationary processes is defined as a fixed point of a renormalisation operator consisting of aggregation normalised by the variance, rather than by the traditional power-law factor. This broader definition reveals a new class of self-similar processes.

Original languageEnglish
Pages (from-to)381-389
Number of pages9
JournalStochastic Models
Volume20
Issue number3
DOIs
Publication statusPublished - Oct 18 2004

Keywords

  • Fractional noise
  • Renormalisation
  • Second-order
  • Self-similarity
  • Stationarity

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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  • Cite this

    Gefferth, A., Veitch, D., Ruzsa, I., Maricza, I., & Molnár, S. (2004). A new class of second order self-similar processes. Stochastic Models, 20(3), 381-389. https://doi.org/10.1081/STM-200025741