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Characterization of discrete scale invariant Markov sequences

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  • N. Modarresi
  • S. Rezakhah

Abstract

Some special sampling of discrete scale invariant (DSI) processes are presented to provide a multi-dimensional self-similar process in correspondence. By imposing Markov property we show that the covariance functions of such Markov DSI sequences are characterized by variance, and covariance of adjacent samples in the first scale interval. We also provide a theoretical method for estimating spectral density matrix of corresponding multi-dimensional self-similar Markov process. Some examples such as simple Brownian motion (sBm) with drift and scale invariant autoregressive model are presented and these properties are investigated. We present two new method to estimate Hurst parameter of DSI processes and apply them to some sBm and also to the SP500 indices for some period which has DSI property. We compare our estimates with the maximum-likelihood and rescaled range (R/S) method which are applied to the corresponding multi-dimensional self-similar processes.

Suggested Citation

  • N. Modarresi & S. Rezakhah, 2016. "Characterization of discrete scale invariant Markov sequences," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(18), pages 5263-5278, September.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:18:p:5263-5278
    DOI: 10.1080/03610926.2014.942427
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