Stationary incrementsIn probability theory, a stochastic process is said to have stationary increments if its change only depends on the time span of observation, but not on the time when the observation was started. Many large families of stochastic processes have stationary increments either by definition (e.g. Lévy processes) or by construction (e.g. random walks) A stochastic process has stationary increments if for all and , the distribution of the random variables depends only on and not on .
Lévy processIn probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which displacements in pairwise disjoint time intervals are independent, and displacements in different time intervals of the same length have identical probability distributions. A Lévy process may thus be viewed as the continuous-time analog of a random walk.
Fractional Brownian motionIn probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not be independent. fBm is a continuous-time Gaussian process on , that starts at zero, has expectation zero for all in , and has the following covariance function: where H is a real number in (0, 1), called the Hurst index or Hurst parameter associated with the fractional Brownian motion.
Long-range dependenceLong-range dependence (LRD), also called long memory or long-range persistence, is a phenomenon that may arise in the analysis of spatial or time series data. It relates to the rate of decay of statistical dependence of two points with increasing time interval or spatial distance between the points. A phenomenon is usually considered to have long-range dependence if the dependence decays more slowly than an exponential decay, typically a power-like decay. LRD is often related to self-similar processes or fields.
Infinite divisibility (probability)In probability theory, a probability distribution is infinitely divisible if it can be expressed as the probability distribution of the sum of an arbitrary number of independent and identically distributed (i.i.d.) random variables. The characteristic function of any infinitely divisible distribution is then called an infinitely divisible characteristic function. More rigorously, the probability distribution F is infinitely divisible if, for every positive integer n, there exist n i.i.d. random variables Xn1, .
LogarithmIn mathematics, the logarithm is the inverse function to exponentiation. That means that the logarithm of a number x to the base b is the exponent to which b must be raised to produce x. For example, since 1000 = 103, the logarithm base 10 of 1000 is 3, or log10 (1000) = 3. The logarithm of x to base b is denoted as logb (x), or without parentheses, logb x, or even without the explicit base, log x, when no confusion is possible, or when the base does not matter such as in big O notation.
Natural logarithmThe natural logarithm of a number is its logarithm to the base of the mathematical constant e, which is an irrational and transcendental number approximately equal to 2.718281828459. The natural logarithm of x is generally written as ln x, loge x, or sometimes, if the base e is implicit, simply log x. Parentheses are sometimes added for clarity, giving ln(x), loge(x), or log(x). This is done particularly when the argument to the logarithm is not a single symbol, so as to prevent ambiguity.
Heat equationIn mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for the purpose of modeling how a quantity such as heat diffuses through a given region. As the prototypical parabolic partial differential equation, the heat equation is among the most widely studied topics in pure mathematics, and its analysis is regarded as fundamental to the broader field of partial differential equations.
Iterated logarithmIn computer science, the iterated logarithm of , written (usually read "log star"), is the number of times the logarithm function must be iteratively applied before the result is less than or equal to . The simplest formal definition is the result of this recurrence relation: On the positive real numbers, the continuous super-logarithm (inverse tetration) is essentially equivalent: i.e. the base b iterated logarithm is if n lies within the interval , where denotes tetration.
Binary logarithmIn mathematics, the binary logarithm (log2n) is the power to which the number 2 must be raised to obtain the value n. That is, for any real number x, For example, the binary logarithm of 1 is 0, the binary logarithm of 2 is 1, the binary logarithm of 4 is 2, and the binary logarithm of 32 is 5. The binary logarithm is the logarithm to the base 2 and is the inverse function of the power of two function. As well as log2, an alternative notation for the binary logarithm is lb (the notation preferred by ISO 31-11 and ISO 80000-2).
