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Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
2003
E S A I M: Probability & Statistics
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In this paper a new multifractal stochastic process called Limit of the Integrated Superposition of Diffusion processes with Linear differencial Generator (LISDLG) is presented which realistically characterizes the network traffic multifractality. Several properties of the LISDLG model are presented including long range dependence, cumulants, logarithm of the characteristic function, dilative stability, spectrum and bispectrum. The model captures higher-order statistics by the cumulants. The
doi:10.1051/ps:2003008
fatcat:dhxycfskhvaffbhpwhyxoxtm7i