SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM

DOI10.1142/S0218348X04002379zbMath1083.65005MaRDI QIDQ5719311

Murad S. Taqqu, Stilian A. Stoev

Publication date: 18 January 2006

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

SimulationWaveletsstochastic integral representationSelf-similarityHurst ParameterHeavy Tailsfractional autoregressive moving average time seriesMallat's Algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Communication networks in operations research (90B18) Stable stochastic processes (60G52) Packaged methods for numerical algorithms (65Y15) Software, source code, etc. for problems pertaining to probability theory (60-04)

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Uses Software

• Matlab

Cites Work

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• Limit theorems for sums of linearly generated random variables
• Applied mathematics meets signal processing.
• Estimation of the self-similarity parameter in linear fractional stable motion.
• Fractional ARIMA with stable innovations
• Infinite variance stable moving averages with long memory
• Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING