On the relationship between fractal dimension and fractal index for stationary stochastic processes

DOI10.1214/AOAP/1177005210MaRDI QIDQ1327615zbMATH OpenOpenAlexFDO

Authors Rahul Roy, Peter Hall

Publication date 24 October 1994

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005210

zbMATH Keywords

fractal dimensionfractional indexHausdorff dimensionnonstationary Gaussian processstationary Gaussian process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Nonparametric estimation (62G05)

Review text

The real number \(d\) is said to be the fractal dimension of a sample path on an interval of some stationary square-integrable stochastic process \(X_ t\) if \(d\) is the Hausdorff dimension of the path as a subset in \(\mathbb{R}^ 2\). On the other hand the fractional index \(\alpha\) of this process is defined by \[ \alpha = \sup \bigl\{ \beta \mid 1-\text{cov} (X_ 0, X_ t) = O (t^ \beta) \quad \text{as} \quad t \downarrow 0 \bigr\}. \] The authors give sufficient conditions that \(d=2 - \alpha/2\) is valid provided that \(X_ t = g(Z_ t)\) for a smooth function \(g\) and \(Z_ t\) is a stationary Gaussian process. It may be happen that \(X_ t\) is non-Gaussian.

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