Simulation of weakly self-similar stationary increment Sub_()-processes: A series expansion approach

DOI10.1007/S11009-005-4523-YMaRDI QIDQ2583519zbMATH OpenOpenAlexFDO

Authors O. I. Vasylyk, Yu. V. Kozachenko, Tommi Sottinen

Publication date 17 January 2006

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-005-4523-y

zbMATH Keywords

fractional Brownian motionlong-range dependenceself-similarity

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Gaussian processes (60G15) Self-similar stochastic processes (60G18)

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Cites work

• A series expansion of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
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• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 1433619 (Why is no real title available?)
• scientific article; zbMATH DE number 3107995 (Why is no real title available?)
• Random Fourier Transforms
• Stochastic analysis of the fractional Brownian motion

Cited in

(14)

• On the modeling of linear system input stochastic processes with given accuracy and reliability
• Simulation of generalized fractional Brownian motion in \(C([0,T])\)
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• Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
• On one way of modeling a stochastic process with given accuracy and reliability
• Accuracy and reliability of a model for a Gaussian homogeneous and isotropic random field in the space \(L_{p}(\mathbb{T})\), \(p\geq1\)
• Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
• A multiplicative wavelet-based model for simulation of a random process
• scientific article; zbMATH DE number 1995739 (Why is no real title available?)
• Construction of the Karhunen-Loève model for an input Gaussian process in a linear system by using the output process
• Simulation of fractional Brownian motion with given reliability and accuracy in \(C([0,1])\)
• On convergence of the uniform norm and approximation for stochastic processes from the space \(\mathbf{F}_\psi (\Omega)\)
• Simulation of Cox processes driven by random Gaussian field

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Uses Software

• longmemo

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