Characterization of discrete scale invariant Markov sequences

DOI10.1080/03610926.2014.942427MaRDI QIDQ2817156zbMATH OpenOpenAlexFDO

Authors Saeid Rezakhah, N. Modarresi

Publication date 29 August 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.3959

zbMATH Keywords

discrete scale invarianceMarkov sequencesmulti-dimensional self-similarity

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Self-similar stochastic processes (60G18) Discrete-time Markov processes on general state spaces (60J05)

Abstract: By considering special sampling of discrete scale invariant (DSI) processes we provide a sequence which is in correspondence to multi-dimensional self-similar process. By imposing Markov property we show that the covariance functions of such discrete scale invariant Markov (DSIM) sequences are characterized by variance, and covariance of adjacent samples in the first scale interval. We also provide a theoretical method for estimating spectral density matrix of corresponding multi-dimensional self-similar Markov process. Some examples such as simple Brownian motion with drift and scale invariant autoregressive model of order one are presented and these properties are investigated. By simulating DSIM sequences we provide visualization of their behavior and investigate these results. Finally we present a new method to estimate Hurst parameter of DSI processes and show that it has much better performance than maximum likelihood method for simulated data.

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Cites work

• A new structure for analyzing discrete scale invariant processes: covariance and spectra
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Cited in

(6)

• Characterizing Markov exchangeable sequences
• Discretization of continuous time discrete scale invariant processes: estimation and spectra
• Scale parameter estimation of discrete scale invariant processes
• Innovative methods for modeling of scale invariant processes
• Generalized likelihood ratio test for detection of multivariate DSI processes
• Multi-scale invariant fields: estimation and prediction

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