A STUDY ON FRACTAL CHARACTERISTICS OF ARMA MODEL

This paper discusses the fractal characteristics of the autoregressive moving average (ARMA) model, which has been considered as one of the useful approaches for investigating the random engineering phenomena. Firstly, the fractal characteristic of the ARMA model is proven using the variation method. Then, based on this result, the relationships be tween the fractal dimensions of the AR (1), the AR (2) and the ARMA (2 ,1) models and autoregressive and moving average parameters of these m odels are illustrated quantitatively by using the multiple regression analysis.