| Autor: |
N. W. Watkins |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
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| Zdroj: |
Earth and Space Science, Vol 6, Iss 11, Pp 2044-2056 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2333-5084 |
| DOI: |
10.1029/2019EA000598 |
| Popis: |
I survey and illustrate the main time series models that Mandelbrot introduced into time series analysis in the 1960s and 1970s. I focus particularly on the members of the additive fractional stable family including Lévy flights and fractional Brownian motion (fBm), noting some of the less well‐known aspects of this family, such as the cases when the self‐similarity exponent H and the Hurst exponent J differ. I briefly discuss the role of multiplicative models in modeling the physics of cascades. I then recount the still little‐known story of Mandelbrot's work on fractional renewal models in the late 1960s, explaining how these differ from their more familiar fBm counterpart and form a “missing link” between fBm and the problem of random change points. I conclude by highlighting the frontier problem of damped fractional models. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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