Simulating Sample Paths of Linear Fractional Stable Motion
DOI10.1109/TIT.2004.828059zbMATH Open1303.94015OpenAlexW2130126601MaRDI QIDQ3547799FDOQ3547799
Wei Biao Wu, George Michailidis, Danlu Zhang
Publication date: 21 December 2008
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tit.2004.828059
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Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stable stochastic processes (60G52) Numerical methods for discrete and fast Fourier transforms (65T50)
Cited In (12)
- On linear models with long memory and heavy-tailed errors
- A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
- On nonparametric prediction of linear processes
- Estimation of inverse autocovariance matrices for long memory processes
- A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
- A unified approach to self-normalized block sampling
- Residual empirical processes for nearly unstable long-memory time series
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- Higher order fractional stable motion: hyperdiffusion with heavy tails
- Simulation of Infinitely Divisible Random Fields
- Fourier series approximation of linear fractional stable motion
- A general framework for simulation of fractional fields
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