Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
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Publication:548876
DOI10.1016/J.SIGPRO.2010.10.014zbMATH Open1221.62123OpenAlexW2034769681MaRDI QIDQ548876FDOQ548876
Authors: Hannes Helgason, Patrice Abry, Vladas Pipiras 
Publication date: 30 June 2011
Published in: Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sigpro.2010.10.014
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Cited In (20)
- Synthesizing random data of the Matérn type
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- A stochastic space-time model for intermittent precipitation occurrences
- Bivariate covariance functions of Pólya type
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Definitions and representations of multivariate long-range dependent time series
- A note on spectral norms of even-order \( r\)-circulant matrices
- Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
- A spectral approach to estimate the autocovariance function
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
- Modeling bivariate long-range dependence with general phase
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Simulation of Multivariate Gaussian Time Series
- Multivariate Hadamard self-similarity: testing fractal connectivity
- On the wavelet-based simulation of anomalous diffusion
- Fast and exact simulation of univariate and bivariate Gaussian random fields
- Integral representations and properties of operator fractional Brownian motions
- Nonparametric change point detection in multivariate piecewise stationary time series
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