Variational dimension of random sequences and its application

S. M. Prigarin ; K. Hahn ; G. Winkler

Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 12 (2009) no. 4, pp. 435-448.

Résumé

A concept of variational dimension for a random sequence with stationary increments is introduced. In the Gaussian case, the variational dimension in the limit coincides with the Hausdorff dimension of a proper random process. Applications of the concept are illustrated by examples of the neurology data and the network traffic analysis.

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