Anomalous Fluctuations in Autoregressive Models with Long-Term Memory

被引：1

作者：

Sakaguchi, Hidetsugu ^{[1
]}

Honjo, Haruo ^{[1
]}

机构：

[1] Kyushu Univ, Interdisciplinary Grad Sch Engn Sci, Dept Appl Sci Elect & Mat, Kasuga, Fukuoka 8168580, Japan

来源：

JOURNAL OF THE PHYSICAL SOCIETY OF JAPAN | 2015年 / 84卷 / 10期

关键词：

MEDIA;

D O I：

10.7566/JPSJ.84.104002

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 Delta(m) for the time interval m increases with a power law as m(alpha) with alpha < 1/2 for small m but saturates at sufficiently large m. The exponent a changes with the power exponent of the memory kernel.

引用

页数：4

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