Stochastic Discrete Scale Invariance
Résumé
A definition of stochastic discrete scale invariance (DSI) is proposed and its properties studied. It is shown how the Lamperti transformation, which transforms stationarity in self-similarity, is also a means to connect processes deviating from stationarity and processes which are not exactly scale invariant: in particular we interpret DSI as the image of cyclostationarity. This theoretical result is employed to introduce a multiplicative spectral representation of DSI processes based on the Mellin transform, and preliminar remarks are given about estimation issues.
Origine : Fichiers éditeurs autorisés sur une archive ouverte
Loading...