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dlg process

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Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
Endre Iglói, György Terdik
Journal:

ESAIM: Probability and Statistics / Volume 7 / March 2003

Published online by Cambridge University Press:

15 May 2003, pp. 23-88

Print publication:

March 2003
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In this paper a new multifractal stochastic process called Limit of theIntegrated Superposition of Diffusion processes with Linear differencialGenerator (LISDLG) is presented which realistically characterizes the networktraffic multifractality. Several properties of the LISDLG model are presentedincluding long range dependence, cumulants, logarithm of the characteristicfunction, dilative stability, spectrum and bispectrum. The model captureshigher-order statistics by the cumulants. The relevance and validation of theproposed model are demonstrated by real data of Internet traffic.