Anomalous fluctuations in autoregressive models with long-term memory

Hidetsugu Sakaguchi, Haruo Honjo

    Research output: Contribution to journalArticle

    Abstract

    An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affinefractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement Δ(m) for the time interval m increases with a power law as mα with α < 1=2 for small m but saturates at sufficiently large m. The exponent α changes with the power exponent of the memory kernel.

    Original languageEnglish
    Article numbere104002
    Journaljournal of the physical society of japan
    Volume84
    Issue number10
    DOIs
    Publication statusPublished - Oct 15 2015

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    exponents
    stochastic processes
    intervals

    All Science Journal Classification (ASJC) codes

    • Physics and Astronomy(all)

    Cite this

    Anomalous fluctuations in autoregressive models with long-term memory. / Sakaguchi, Hidetsugu; Honjo, Haruo.

    In: journal of the physical society of japan, Vol. 84, No. 10, e104002, 15.10.2015.

    Research output: Contribution to journalArticle

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