In this work we explore the global and local property of some stochastic models. In particular, we consider some Gaussian processes and Gaussian random field characterized by two different class of covariance functions: the Cauchy and the Dagum functions. We provide a simulation study in which we estimate the long memory parameter and the fractal dimension for different stochastic models and we provide some summary results.
On long memory dependence for some stochastic models
NICOLIS, Orietta;
2006-01-01
Abstract
In this work we explore the global and local property of some stochastic models. In particular, we consider some Gaussian processes and Gaussian random field characterized by two different class of covariance functions: the Cauchy and the Dagum functions. We provide a simulation study in which we estimate the long memory parameter and the fractal dimension for different stochastic models and we provide some summary results.File allegato/i alla scheda:
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