Fractionally integrated process with power-law correlations in variables and magnitudes

Podobnik, Boris and Ivanov, Plamen Ch. and Biljaković, Katica and Horvatić, Davor and Stanley, H. Eugene and Grosse, Ivo (2005) Fractionally integrated process with power-law correlations in variables and magnitudes. Physical Review E, 72 (2). pp. 26121-7. ISSN 1539-3755

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Abstract

We propose a new stochastic process, de ned by only two parameters, 1 and 2 , which generates power-law correlations or anticorrelations in the variable increments, and power-law correlations in their magnitudes to account for empirical observations in a range of physical systems. To demonstrate the utility of our process, we consider the case with power-law anticorrelations in the variable increments and power-law correlations in their magnitudes to model scaling properties in heartbeat data. The parameters 1 and 2 control separately the correlations in the increments and their magnitudes, and we nd linear relations between each parameter and the corresponding correlation exponent.

Item Type: Article
Keywords: stohasic process, correlation, heartbeat, weather data
Date: August 2005
Subjects: NATURAL SCIENCES > Physics
Additional Information: Copyright (2005) by the American Physical Society.
Divisions: Faculty of Science > Department of Physics
Project code: 0119261, 0035014, 0119263
Publisher: American Physical Society
Depositing User: Gordana Stubičan Ladešić
Date Deposited: 03 Jun 2014 10:59
Last Modified: 03 Jun 2014 10:59
URI: http://digre.pmf.unizg.hr/id/eprint/1690

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