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Anomalous Fluctuations in Autoregressive Models with Long-Term Memory (1508.07715v1)
Published 31 Aug 2015 in cond-mat.stat-mech and physics.data-an
Abstract: An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affine-fractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement for the time interval increases with a power law for small time but saturates at sufficiently large time. The exponent changes with the power exponent of the memory kernel.