SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (Q5719311)
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scientific article; zbMATH DE number 2248366
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| English | SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM |
scientific article; zbMATH DE number 2248366 |
Statements
SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (English)
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18 January 2006
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Simulation
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stochastic integral representation
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Self-similarity
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Hurst Parameter
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fractional autoregressive moving average time series
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Heavy Tails
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Wavelets
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Mallat's Algorithm
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0.8831183
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0.8770503
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0.8749021
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0.86802316
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0.8677061
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0.8585836
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0.8582099
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0.8569521
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0.84504473
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