Wavelet-based simulation of fractional Brownian motion revisited

DOI10.1016/j.acha.2005.01.002zbMath1074.60048OpenAlexW1982672936MaRDI QIDQ2484415

Vladas Pipiras

Publication date: 1 August 2005

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.acha.2005.01.002

zbMATH Keywords

zero momentsFARIMA time serieslow- and high-pass filters

Mathematics Subject Classification ID

Gaussian processes (60G15) Strong limit theorems (60F15) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (14)

Properties of Some Random Series ⋮ Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ On the vaguelet and Riesz properties of \(L^2\)-unbounded transformations of orthogonal wavelet bases ⋮ 2D wavelet-based spectra with applications ⋮ Adaptive wavelet decompositions of stationary time series ⋮ Statistical challenges in microrheology ⋮ Type I and type II fractional Brownian motions: a reconsideration ⋮ Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence ⋮ Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem ⋮ Estimation of anisotropic Gaussian fields through Radon transform ⋮ On the wavelet-based simulation of anomalous diffusion ⋮ Simulation of sub-Gaussian processes using wavelets ⋮ Wavelet-based simulation of random processes from certain classes with given accuracy and reliability ⋮ Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise

Uses Software

• longmemo

Cites Work

• Time series: theory and methods.
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
• Ten Lectures on Wavelets
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
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