Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
From MaRDI portal
Publication:3391111
DOI10.1080/10618600.2017.1385468OpenAlexW2325530052MaRDI QIDQ3391111FDOQ3391111
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
Cites Work
- Time series: theory and methods.
- Fractional differencing
- Fractional Brownian Motions, Fractional Noises and Applications
- Tests for Hurst effect
- Title not available (Why is that?)
- Wavelet analysis of the multivariate fractional Brownian motion
- Integral representations and properties of operator fractional Brownian motions
- Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
- Title not available (Why is that?)
- Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
- Toeplitz and circulant matrices: a review.
- Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
- Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
- Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
- Confidence Intervals for the Means of Dependent, Normally Distributed Variables
- Statistics for complex variables and signals. II: Signals
- Estimation of the Means of Dependent Variables
Cited In (6)
- A spectral approach to estimate the autocovariance function
- A Scalable Gaussian Process for Large-Scale Periodic Data
- 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
- Long memory estimation for complex-valued time series
Uses Software
This page was built for publication: Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3391111)
