Fourier series approximation of linear fractional stable motion

DOI10.1007/s00041-008-9011-7zbMath1148.60025OpenAlexW2044023112MaRDI QIDQ2483006

Hermine Biermé, Hans-Peter Scheffler

Publication date: 5 May 2008

Published in: The Journal of Fourier Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00041-008-9011-7

zbMATH Keywords

error estimatesself-similar processsimulation algorithmfractional stable motionFourier series approximation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probabilistic models, generic numerical methods in probability and statistics (65C20) Self-similar stochastic processes (60G18)

Related Items (3)

Simulation of Infinitely Divisible Random Fields ⋮ Lattice Boltzmann Model for Time-Fractional Nonlinear Wave Equations ⋮ Higher order fractional stable motion: hyperdiffusion with heavy tails

Cites Work

• Hölder continuity of sample paths of some self-similar stable processes
• A general framework for simulation of fractional fields
• Estimation of the self-similarity parameter in linear fractional stable motion.
• Sample path properties of ergodic self-similar processes
• Simulating Sample Paths of Linear Fractional Stable Motion
• A Method for Simulating Stable Random Variables
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
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