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

FARIMA time serieslow- and high-pass filterszero moments

Mathematics Subject Classification ID

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

Review text

The author considers wavelet-based simulation procedures for fractional Brownian motion, paying special attention to the one proposed by Abry and Sellan and a wavelet expansion by Sellan, Meyer et al. for decorrelation of high-frequencies, and a pyramidal Mallat-type scheme. He is interested in the working of such methods, investigates the structure of low- and high-pass filters and suggests modifications to the algorithms.

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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Cited in

(32)

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

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Uses Software

• longmemo

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