Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
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- scientific article; zbMATH DE number 1343153
Cites work
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- Embedding nonnegative definite Toeplitz matrices in nonnegative definite circulant matrices, with application to covariance estimation
- Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
- Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
- Gaussian and non-Gaussian linear time series and random fields
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Integral representations and properties of operator fractional Brownian motions
- Miscellanea. On time-reversibility of linear processes
- Power-law correlations, related models for long-range dependence and their simulation
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
- Tests for Hurst effect
- The simulation of random vector time series with given spectrum
Cited in
(20)- Definitions and representations of multivariate long-range dependent time series
- Synthesizing random data of the Matérn type
- Bivariate covariance functions of Pólya type
- Integral representations and properties of operator fractional Brownian motions
- Modeling bivariate long-range dependence with general phase
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Multivariate Hadamard self-similarity: testing fractal connectivity
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- On the wavelet-based simulation of anomalous diffusion
- Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
- A note on spectral norms of even-order \( r\)-circulant matrices
- Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
- Fast and exact simulation of univariate and bivariate Gaussian random fields
- Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- A stochastic space-time model for intermittent precipitation occurrences
- A spectral approach to estimate the autocovariance function
- Nonparametric change point detection in multivariate piecewise stationary time series
- Simulation of Multivariate Gaussian Time Series
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