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For description of dynamics of changes random loads of information flows we examine the stochastic model of Double Stochastic Poisson process which manages points of changes the random loads. A special case of a discrete distribution for the random intensity provides the following covariance property to the corresponding Double Stochastic Poisson subordinator for a sequence of the random loads. Such covariance exactly coincides with the covariance of the fractional Ornstein-Uhlenbeck process. Applying the Lamperti transform we obtain a self-similar random process with continuous time, stationary in the wide sense increments, and one dimensional distributions scaling the distribution of a term of the the initial subordinated sequence of the random loads. The Central Limit Theorem for vectors allows us to obtain in a limit, in the sense of convergence of finite dimensional distributions, the fractional Gaussian Brownian motion and the fractional Ornstein- Uhlenbeck process.
Язык оригинала | английский |
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Название основной публикации | Proceedings - 2017 European Conference on Electrical Engineering and Computer Science, EECS 2017 |
Издатель | Institute of Electrical and Electronics Engineers Inc. |
Страницы | 142-146 |
Число страниц | 5 |
ISBN (электронное издание) | 9781538620854 |
DOI | |
Состояние | Опубликовано - 16 июл 2018 |
Событие | 2017 European Conference on Electrical Engineering and Computer Science, EECS 2017 - Bern, Швейцария Продолжительность: 17 ноя 2017 → 19 ноя 2017 |
Название | Proceedings - 2017 European Conference on Electrical Engineering and Computer Science, EECS 2017 |
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конференция | 2017 European Conference on Electrical Engineering and Computer Science, EECS 2017 |
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Страна/Tерритория | Швейцария |
Город | Bern |
Период | 17/11/17 → 19/11/17 |
ID: 75124896