The problem of aggregating different stochastic process into a unique one that must be characterized based on the statistical knowledge of its components is a key point in the modeling of many complex phenomena such as the merging of traffic flows at network nodes. Depending on the physical intuition on the interaction between the processes, many different aggregation policies can be devised, from averaging to taking the maximum in each time slot. We here give a set of axioms defining a general aggregation operator and, based on some advanced results of functional analysis, we investigate how the decay of correlation of the original processes affect the decay of correlation (and thus possibly the self-similar features) of the aggregated process.
Decay of Correlation of Soft Aggregations of Processes
SETTI, Gianluca;MAZZINI, Gianluca
2004
Abstract
The problem of aggregating different stochastic process into a unique one that must be characterized based on the statistical knowledge of its components is a key point in the modeling of many complex phenomena such as the merging of traffic flows at network nodes. Depending on the physical intuition on the interaction between the processes, many different aggregation policies can be devised, from averaging to taking the maximum in each time slot. We here give a set of axioms defining a general aggregation operator and, based on some advanced results of functional analysis, we investigate how the decay of correlation of the original processes affect the decay of correlation (and thus possibly the self-similar features) of the aggregated process.I documenti in SFERA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
