| Poisson分形过程(英文) |
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| 引用本文： | 闫海岗,王晓天.Poisson分形过程(英文)[J].科学技术与工程,2009,9(15). |
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| 作者姓名： | 闫海岗 王晓天 |
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| 作者单位： | 华南理工大学理学院,广州,510640 |
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| 摘 要： | 提出了一类叫做Poisson分形过程W(j)H(t)的非Gauss的平稳增量过程,它可以用来研究包括金融和物理等许多领域中的长期依赖性.此过程W(j)H(t)在宽的意义下是自相似的,并且比Gauss过程展现出更厚的尾部.
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| 关 键 词： | 长期依赖性 自相似 偏度 峰度 |
Poisson Fractal Processes |
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| YAN Hai-gang,WANG Xiao-tian.Poisson Fractal Processes[J].Science Technology and Engineering,2009,9(15). |
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| Authors: | YAN Hai-gang WANG Xiao-tian |
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| Institution: | Department of Mathematics;Institute of Science;South China University of Technology;Guangzhou 510640;P.R.China |
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| Abstract: | A class of non-Gaussian stationary increment processes is proposed,named Poisson fractal processes WH(j)(t),which permit the study of the effects of long-range dependence in a large number of fields including finance and physics. The processes WH(j)(t) are self-similar in wide sense,exhibit more fatter tail than Gaussian processes. |
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| Keywords: | long-range dependence self-similar skewness kurtosis |
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