SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
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Publication:5719311
DOI10.1142/S0218348X04002379zbMath1083.65005MaRDI QIDQ5719311
Murad S. Taqqu, Stilian A. Stoev
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
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
Cites Work
- Limit theorems for sums of linearly generated random variables
- Applied mathematics meets signal processing.
- Estimation of the self-similarity parameter in linear fractional stable motion.
- Fractional ARIMA with stable innovations
- Infinite variance stable moving averages with long memory
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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