Simulating Sample Paths of Linear Fractional Stable Motion

DOI10.1109/TIT.2004.828059zbMath1303.94015OpenAlexW2130126601MaRDI QIDQ3547799

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

simulationfast Fourier transformlinear processheavy-tailed distributionslong-range dependencelinear fractional stable motion

Mathematics Subject Classification ID

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

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Estimation of inverse autocovariance matrices for long memory processes ⋮ A unified approach to self-normalized block sampling ⋮ Simulation of Infinitely Divisible Random Fields ⋮ On linear models with long memory and heavy-tailed errors ⋮ Higher order fractional stable motion: hyperdiffusion with heavy tails ⋮ A general framework for simulation of fractional fields ⋮ Fourier series approximation of linear fractional stable motion ⋮ Residual empirical processes for nearly unstable long-memory time series ⋮ On nonparametric prediction of linear processes ⋮ A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations

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