Anomalous Fluctuations in Autoregressive Models with Long-Term Memory
Statistical Mechanics
2015-10-28 v1 Data Analysis, Statistics and Probability
Abstract
An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affine-fractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement for the time interval increases with a power law for small time but saturates at sufficiently large time. The exponent changes with the power exponent of the memory kernel.
Cite
@article{arxiv.1508.07715,
title = {Anomalous Fluctuations in Autoregressive Models with Long-Term Memory},
author = {Hidetsugu Sakaguchi and Haruo Honjo},
journal= {arXiv preprint arXiv:1508.07715},
year = {2015}
}
Comments
5 pages, 4 figures