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
Hannes Helgason, Vladas Pipiras, Patrice Abry
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
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Cited In (17)
- 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
- Modeling bivariate long‐range dependence with general phase
- A note on spectral norms of even-order \( r\)-circulant matrices
- 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
- DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- 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
Uses Software
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