Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes

DOI10.1016/J.CHAOS.2022.112508MaRDI QIDQ2677477zbMATH OpenOpenAlexWikidataFDO

Authors Rytis Kazakevičius, B. Kaulakys, Aleksejus Kononovicius

Publication date 13 January 2023

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.07563

zbMATH Keywords

point processesnonlinear dynamicslong-range memorynon-Markovian dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non--Markovian point process exhibit power--law scaling. We show that a nonlinear Markovian point process can reproduce the same scaling behavior. This result indicates a possible link between nonlinearity and apparent non--Markovian behavior.

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Cited in

(2)

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