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arXiv · 1508.07715

Anomalous Fluctuations in Autoregressive Models with Long-Term Memory

Hidetsugu Sakaguchi·Haruo Honjo
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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.

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BibTeXRIS

Hidetsugu Sakaguchi, Haruo Honjo. 2015-08-31. Anomalous Fluctuations in Autoregressive Models with Long-Term Memory. https://doi.org/10.7566/jpsj.84.104002

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