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

long-range memorynon-Markovian dynamicsnonlinear dynamicspoint processes

Mathematics Subject Classification ID

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

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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• Beta Brownian motion

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