Modeling and simulation with operator scaling
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Abstract: Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating stochastic processes with operator scaling. A simulation method for operator stable Levy processes is developed, based on a series representation, along with a Gaussian approximation of the small jumps. Several examples are given to illustrate practical applications. A classification of operator stable Levy processes in two dimensions is provided according to their exponents and symmetry groups. We conclude with some remarks and extensions to general operator self-similar processes.
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- Convergence of types in k-space
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- Limit theorems for coupled continuous time random walks.
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- Operator-Self-Similar Processes in a Finite-Dimensional Space
- Sample cross-correlations for moving averages with regularly varying tails
- Sample path properties of processes with stable components
- Scaling, Fractals and Wavelets
- Stable Paretian models in finance
- Stochastic solution of space-time fractional diffusion equations
- Strictly operator-stable distributions
- Symmetry groups in \(d\)-space
- The Poisson approximation for dependent events
- The dimension of the set of zeros and the graph of a symmetric stable process
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Cited in
(7)- The moduli of continuity for operator fractional Brownian motion
- Operator semi-self-similar processes and their space-scaling matrices
- On integral representations of operator fractional Brownian fields
- Limit theorems for functionals of Gaussian vectors
- Domain and range symmetries of operator fractional Brownian fields
- Parameter estimation of selfsimilarity exponents
- Shift and scale coupling methods for perfect simulation
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