Simulation of sub-Gaussian processes using wavelets
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Publication:3094133
DOI10.1515/MCMA.2011.010zbMath1232.65017MaRDI QIDQ3094133
Publication date: 21 October 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods for wavelets (65T60)
Related Items (3)
A multiplicative wavelet-based model for simulation of a random process ⋮ Simulation of a strictly sub-Gaussian random field ⋮ Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
Cites Work
- Type I and type II fractional Brownian motions: a reconsideration
- Wavelet-type expansion of the Rosenblatt process
- Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
- Rate optimality of wavelet series approximations of fractional Brownian motion
- Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
- Wavelet-based simulation of fractional Brownian motion revisited
- A Matrix-Valued Wavelet KL-Like Expansion for Wide-Sense Stationary Random Processes
- On an expansion of random processes in series
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