On discrete-time self-similar processes with stationary increments (Q2243905)

Based on authors' abstract: This paper studies the self-similar processes with stationary increments in a discrete-time setting. It is shown that the scaling function of such a process may not take the form of a power function. Its scaling function can belong to one of three types, among which one type is degenerate, one type has a continuous-time counterpart, while the other type is new and unique for the discrete-time setting. The paper focus on this last type of processes, construct two classes of examples, and prove a special spectral representation result for the processes of this type. The paper also derives basic properties of discrete-time self-similar processes with stationary increments of different types.