Spectral analysis of multi-dimensional self-similar Markov processes

DOI10.1088/1751-8113/43/12/125004MaRDI QIDQ3558066zbMATH OpenOpenAlexFDO

Authors N. Modarresi, Saeid Rezakhah

Publication date 29 April 2010

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.2295

zbMATH Keywords

Markov self-similar processesself-similar processesspectral theory

Mathematics Subject Classification ID

Dilations, extensions, compressions of linear operators (47A20) Self-similar stochastic processes (60G18) Discrete-time Markov processes on general state spaces (60J05) Brownian motion (60J65)

Abstract: In this paper we consider a discrete scale invariant (DSI) process $$ with scale $l>1$. We consider to have some fix number of observations in every scale, say $T$, and to get our samples at discrete points $$ where $alpha$ is obtained by the equality $l=alph{a}^T$ and $$. So we provide a discrete time scale invariant (DT-SI) process $X(cdot)$ with parameter space $$. We find the spectral representation of the covariance function of such DT-SI process. By providing harmonic like representation of multi-dimensional self-similar processes, spectral density function of them are presented. We assume that the process $$ is also Markov in the wide sense and provide a discrete time scale invariant Markov (DT-SIM) process with the above scheme of sampling. We present an example of DT-SIM process, simple Brownian motion, by the above sampling scheme and verify our results. Finally we find the spectral density matrix of such DT-SIM process and show that its associated $T$-dimensional self-similar Markov process is fully specified by $R_j^H(1),R_j^H(0),j=0,1,\mathrm{...},T-1$ where $R_j^H(au)$ is the covariance function of $j$th and $(j+au)$th observations of the process.

Recommendations

• Spectral analysis of random-to-random Markov chains
• Spectral representation of multiply self-decomposable stochastic processes and applications
• Spectral multipliers for Markov chains
• scientific article; zbMATH DE number 1223588
• Spectral multiplicity of some stochastic processes
• On the spectral analysis of second-order Markov chains
• On the asymptotic behaviour of spectral representations for Markov processes
• Spectral Analysis, without Eigenvectors, for Markov Chains

Cited in

(10)

• Spectral analysis of random-to-random Markov chains
• Optimal scale invariant Wigner spectrum estimation of Gaussian locally self-similar processes using Hermite functions
• On discrete-time self-similar processes with stationary increments
• On the spectral analysis of second-order Markov chains
• Characterization of discrete scale invariant Markov sequences
• Discretization of continuous time discrete scale invariant processes: estimation and spectra
• Spectral Analysis, without Eigenvectors, for Markov Chains
• A new structure for analyzing discrete scale invariant processes: covariance and spectra
• Innovative methods for modeling of scale invariant processes
• Multi-scale invariant fields: estimation and prediction

This page was built for publication: Spectral analysis of multi-dimensional self-similar Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3558066)