TY - JOUR
T1 - Anomalous fluctuations in autoregressive models with long-term memory
AU - Sakaguchi, Hidetsugu
AU - Honjo, Haruo
N1 - Publisher Copyright:
© 2015 The Physical Society of Japan.
PY - 2015/10/15
Y1 - 2015/10/15
N2 - An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affinefractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement Δ(m) for the time interval m increases with a power law as mα with α < 1=2 for small m but saturates at sufficiently large m. The exponent α changes with the power exponent of the memory kernel.
AB - An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affinefractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement Δ(m) for the time interval m increases with a power law as mα with α < 1=2 for small m but saturates at sufficiently large m. The exponent α changes with the power exponent of the memory kernel.
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U2 - 10.7566/JPSJ.84.104002
DO - 10.7566/JPSJ.84.104002
M3 - Article
AN - SCOPUS:84943168271
SN - 0031-9015
VL - 84
JO - journal of the physical society of japan
JF - journal of the physical society of japan
IS - 10
M1 - e104002
ER -