Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix

DOI10.1080/10618600.2017.1385468MaRDI QIDQ3391111zbMATH OpenOpenAlexFDO

Authors Jean-François Coeurjolly, Emilio Porcu

Publication date 28 March 2022

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.00362

zbMATH Keywords

nonnegative definitenesscomplex fractional Brownian motioncircularly symmetric processes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 1881986 (Why is no real title available?)
• Confidence Intervals for the Means of Dependent, Normally Distributed Variables
• Estimation of the Means of Dependent Variables
• Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Integral representations and properties of operator fractional Brownian motions
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• Statistics for complex variables and signals. II: Signals
• Tests for Hurst effect
• Time series: theory and methods.
• Toeplitz and circulant matrices: a review.
• Wavelet analysis of the multivariate fractional Brownian motion

Cited in

(6)

• Long memory estimation for complex-valued time series
• A generative model for fBm with deep ReLU neural networks
• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
• Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix
• A spectral approach to estimate the autocovariance function
• A Scalable Gaussian Process for Large-Scale Periodic Data

Describes a project that uses

Uses Software

• R
• NAG
• nag
• rmarkdown
• SimEstFBM

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