Establishment of a stationary stochastic process with a 1/f spectrum

V.P. Koverda and V.N. Skokov

Physica A: Statistical Mechanics and its Applications, 2020, vol. 555, issue C

Abstract: The relaxation of random processes with a 1/f power spectrum has been studied. The stablest random processes on the classical maximum entropy principle have been found. The time of establishment of a stationary random process has been determined for a random process with a 1/f spectrum. A paradoxical result has been obtained: the longer the integration time step, and thus the rougher the approximation of white noise by a sequence of random numbers, the earlier comes a stationary process with a 1/f power spectrum. For a precise stochastic equation with white noise it is shown that the process tends to a nonstationary one.

Keywords: Scale-invariant fluctuations; Relaxation; Stationary random process; 1/f power spectrum; Maximum entropy (search for similar items in EconPapers)
Date: 2020
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437120302788
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120302788

DOI: 10.1016/j.physa.2020.124581

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().