BibTeX
@MISC{Maejima99semi-selfsimilarprocesses,
author = {Makoto Maejima and Ken-iti Sato and An R},
title = {Semi-Selfsimilar Processes},
year = {1999}
}
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Abstract
A notion of semi-selfsimilarity of R d -valued stochastic processes is introduced as a natural extension of the selfsimilarity. Several topics on semi-selfsimilar processes are studied: 1. The existence of the exponent of semi-selfsimilar processes. 2. Characterization for semi-selfsimilar processes as scaling limits. 3. Relationship between semi-selfsimilar processes with independent increments and semi-selfdecomposable distributions. 4. Construction of semi-selfsimilar processes with stationary increments. Semi-stable processes where all joint distributions are multivariate semi-stable are also discussed in connection with semi-selfsimilar processes.
