Fourier series approximation of linear fractional stable motion

DOI10.1007/S00041-008-9011-7MaRDI QIDQ2483006zbMATH OpenOpenAlexFDO

Authors 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)

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

Cited in

(14)

• On the Fourier coefficients of linear fractional stable motion
• Simulation of infinitely divisible random fields
• Linear multifractional stable motion: representation via Haar basis
• A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
• Approximating Lévy semistationary processes via Fourier methods in the context of power markets
• Tempered fractional stable motion
• Lattice Boltzmann model for time-fractional nonlinear wave equations
• Series representation and simulation of multifractional Lévy motions
• Higher order fractional stable motion: hyperdiffusion with heavy tails
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• scientific article; zbMATH DE number 1424078 (Why is no real title available?)
• Simulating Sample Paths of Linear Fractional Stable Motion
• Simulation of a local time fractional stable motion
• A general framework for simulation of fractional fields

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