| EPSRC Reference: |
GR/R78589/01 |
| Title: |
Self-similar processes with embedded branching process: theory and applications |
| Principal Investigator: |
Jones, Dr O |
| Other Investigators: |
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| Department: |
School of Mathematics |
| Organisation: |
University of Southampton |
| Scheme: |
Fast Stream |
| Starts: |
17 July 2002 |
Ends: |
16 January 2004 |
Value (£): |
60,543
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| EPSRC Research Topic Classifications: |
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| EPSRC Industrial Sector Classifications: |
| Financial Services |
Creative Industries |
| No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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A self-similar stochastic process is one whose behaviour is unaffected by a change in scale. The time scaling and space scaling are related by the Hurst parameter H, which also describes the degree of long-range dependence in the process. Self-similarity has been observed in a number of fields, particularly in finance, telecommunications, hydrology and geophysics.This proposal concerns the investigation and application of a new class of self-similar process, constructed using an embedded branching process (ESP processes. The construction is quite general, and can be easily fitted to data. In particular, we wish to fit such models to financial and telecommunications data, and then simulate from them. The embedded branching process also suggests a new test for self-similarity and an estimator for the Hurst parameter H, which we wish to develop and test.The potential applications of this work are far reaching. EBP processes promise to be easily fitted to data, and easily simulated. As such, they are directly applicable to the modelling of financial, telecommunications, hydrological and geophysical time series. Moreover, the estimator for H proposed here represents a new approach to the difficult problem of estimating H, and will be a useful addition to existing techniques.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.soton.ac.uk |