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

DOI10.1016/J.CHAOS.2022.112508zbMATH Open1506.60052arXiv2205.07563OpenAlexW4291200411WikidataQ113878247 ScholiaQ113878247MaRDI QIDQ2677477FDOQ2677477

Authors: Rytis Kazakevičius, B. Kaulakys, Aleksejus Kononovicius 

Publication date: 13 January 2023

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

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.

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)

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Cited In (2)

• Beta Brownian motion
• Spectral design of anomalous diffusion

Uses Software

• longmemo

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