scientific article; zbMATH DE number 1944329
From MaRDI portal
Publication:4407624
zbMath1031.65010MaRDI QIDQ4407624
Gabriel Lang, Georges Oppenheim, Anne Philippe, Murad S. Taqqu, Jean-Marc Bardet
Publication date: 8 March 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
fractional Brownian motionMonte Carlo methodfractional Gaussian noiseFARIMA processesLagrange dependent process generation
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (24)
A new estimator of the self-similarity exponent through the empirical likelihood ratio test ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Prediction of long memory processes on same-realisation ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane ⋮ Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks ⋮ Scaling invariance embedded in very short time series: a factorial moment based diffusion entropy approach ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ A comparison between several adjustment models to simulated teletraffic data ⋮ A general framework for simulation of fractional fields ⋮ Innovative methods for modeling of scale invariant processes ⋮ Regularized estimation of large covariance matrices ⋮ Wavelet-based simulation of fractional Brownian motion revisited ⋮ Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment ⋮ Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet ⋮ Random sampling of long-memory stationary processes ⋮ Probabilistic analysis of recurrence plots generated by fractional Gaussian noise ⋮ On the wavelet-based simulation of anomalous diffusion ⋮ Memory properties and aggregation of spatial autoregressive models ⋮ Multi-scale transition matrix approach to time series
This page was built for publication:
