Statements (17)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:transformation
|
| gptkbp:appliesTo |
stochastic processes
|
| gptkbp:defines |
A transformation that maps a self-similar process to a stationary process via a logarithmic time change.
|
| gptkbp:field |
gptkb:probability_theory
stochastic processes |
| gptkbp:form |
Y(t) = e^{-Ht} X(e^t), where X is self-similar of index H
|
| https://www.w3.org/2000/01/rdf-schema#label |
Lamperti transformation
|
| gptkbp:introducedIn |
1962
|
| gptkbp:namedAfter |
gptkb:John_Lamperti
|
| gptkbp:publishedIn |
gptkb:Transactions_of_the_American_Mathematical_Society
|
| gptkbp:purpose |
to relate self-similar processes to stationary processes
|
| gptkbp:relatedTo |
stationary process
self-similar process |
| gptkbp:usedIn |
analysis of Lévy processes
study of self-similar Markov processes |
| gptkbp:bfsParent |
gptkb:Lamperti_process
|
| gptkbp:bfsLayer |
5
|