Simulating Sample Paths of Linear Fractional Stable Motion

DOI10.1109/TIT.2004.828059zbMATH Open1303.94015OpenAlexW2130126601MaRDI QIDQ3547799FDOQ3547799

Authors 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

zbMATH Keywords

simulationlong-range dependencefast Fourier transformheavy-tailed distributionslinear processlinear fractional stable motion

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stable stochastic processes (60G52) Numerical methods for discrete and fast Fourier transforms (65T50)

Recommendations

• Fourier series approximation of linear fractional stable motion
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
• Simulation of a local time fractional stable motion
• Sample path generation of Lévy-driven continuous-time autoregressive moving average processes

Cited in

(12)

• A unified approach to self-normalized block sampling
• Estimation of inverse autocovariance matrices for long memory processes
• A general framework for simulation of fractional fields
• Residual empirical processes for nearly unstable long-memory time series
• Simulation of infinitely divisible random fields
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Fourier series approximation of linear fractional stable motion
• On linear models with long memory and heavy-tailed errors
• A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
• Higher order fractional stable motion: hyperdiffusion with heavy tails
• A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
• On nonparametric prediction of linear processes

This page was built for publication: Simulating Sample Paths of Linear Fractional Stable Motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3547799)