NEW APPROACHES TO MODELLING AND ANALYSING LONG-MEMORY RANDOM PROCESSES

Grant number: DP150102758 | Funding period: 2015 - 2017

Completed

Abstract

The project aims to develop new approaches using infinite-dimensional Markov processes to solving important long-standing problems from the theory of long memory random processes and their applications. It aims to: construct a class of new representations of random processes; derive inequalities for the key numerical characteristics; and, devise and investigate numerical methods for computing the characteristics and for performing statistical inference on the long memory models. The accuracy of numerical approximations will be analysed using simulations on supercomputers. Expected outcomes include models and results of practical importance with applications such as intrusion detection proble..

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