Wavelet-based simulation of fractional Brownian motion revisited

DOI10.1016/J.ACHA.2005.01.002MaRDI QIDQ2484415zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
• New methods for simulation of fractional Brownian motion
• scientific article; zbMATH DE number 841851
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Les ondelettes à la conquête du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field)

Cites work

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

Cited in

(27)

• Type I and type II fractional Brownian motions: a reconsideration
• Spectral numerical models of fractional Brownian motion
• Complex-order scale-invariant operators and self-similar processes
• Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
• New representation of generation algorithm for persistent fractional Brownian motion
• scientific article; zbMATH DE number 1552225 (Why is no real title available?)
• Simulation of sub-Gaussian processes using wavelets
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
• Estimation of anisotropic Gaussian fields through Radon transform
• 2D wavelet-based spectra with applications
• A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
• Les ondelettes à la conquête du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field)
• Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
• Statistical challenges in microrheology
• Wavelet-based synthesis of the Rosenblatt process
• Adaptive wavelet decompositions of stationary time series
• scientific article; zbMATH DE number 841851 (Why is no real title available?)
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• On the wavelet-based simulation of anomalous diffusion
• On fractional Brownian motion and wavelets
• Estimation of fractional Brownian motion embedded in a noisy environment using nonorthogonal wavelets
• A Fourier-wavelet Monte Carlo method for fractal random fields
• Properties of some random series
• On the vaguelet and Riesz properties of \(L^2\)-unbounded transformations of orthogonal wavelet bases

Describes a project that uses

Uses Software

• longmemo

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