Modeling and simulation with operator scaling

DOI10.1016/J.SPA.2010.08.002MaRDI QIDQ608214zbMATH OpenOpenAlexFDO

Authors Serge Cohen, Mark M. Meerschaert, Jan Rosiński

Publication date 25 November 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.4784

zbMATH Keywords

Lévy processesoperator scalingself-similar processessimulationsymmetries

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05)

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.

Review text

Self-similar stochastic processes are widely used in various applications in science, e.g., electrical engineering, image processing, network traffic, finance and physics, because of their scaling properties. This paper deals with several aspects of operator self-similar processes, i.e., (multi-dimensional) self-similar processes where the scaling factor varies with each coordinate. In particular, the authors consider an operator self-similar Lévy process and develop a simulation algorithm based on a series representation of the process. The big jumps of the processes form a compound Poisson process and can thus be simulated exactly, while a Gaussian approximation is used for the small jumps, closely following \textit{S. Cohen} and \textit{J. Rosiński} [Bernoulli 13, No.~1, 195--210 (2007; Zbl 1121.60049)]. The authors illustrate the different aspects of operator self-similar processes through various simulation examples. Then, they present a classification of operator self-similar processes in dimension 2, in terms of the exponent and the spectral measure. This classification is important for model selection.

Recommendations

• Spectral decomposition for operator self-similar processes and their generalized domains of attraction
• Self-similar processes with independent increments
• A note on operator self-similar Gaussian vector fields
• FAST, EFFICIENT ON-LINE SIMULATION OF SELF-SIMILAR PROCESSES
• Limit theorems for functionals of Gaussian vectors
• Multivariate operator-self-similar random fields
• BASIC PROPERTIES AND CHARACTERIZATION OF STOCHASTICALLY SELF-SIMILAR PROCESSES IN R^d

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Cited in

(8)

• Domain and range symmetries of operator fractional Brownian fields
• On integral representations of operator fractional Brownian fields
• Limit theorems for functionals of Gaussian vectors
• Parameter estimation of selfsimilarity exponents
• Operator semi-self-similar processes and their space-scaling matrices
• Shift and scale coupling methods for perfect simulation
• The moduli of continuity for operator fractional Brownian motion
• Semistable distributions as marginals of operator stable laws

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