SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM

DOI10.1142/S0218348X04002379zbMath1083.65005MaRDI QIDQ5719311

Publication date: 18 January 2006

Published in: Fractals (Search for Journal in Brave)

Simulation; Wavelets; stochastic integral representation; Self-similarity; Hurst Parameter; Heavy Tails; fractional autoregressive moving average time series; Mallat's Algorithm

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

90B18: Communication networks in operations research

60G52: Stable stochastic processes

65Y15: Packaged methods for numerical algorithms

60-04: Software, source code, etc. for problems pertaining to probability theory

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Uses Software

Matlab

Cites Work