Fast simulation of self-similar and correlated processes
DOI10.1016/j.matcom.2010.01.010zbMath1196.65034MaRDI QIDQ991165
J. C. López-Ardao, M. E. Sousa-Vieira, Cándido López-García, Andrés Suárez-González, Manuel Fernández-Veiga, Raúl F. Rodríguez-Rubio
Publication date: 2 September 2010
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2010.01.010
computational complexity; numerical examples; efficient on-line generation; persistent correlations; \(M/G/\infty \) process; Gaussian self-similar time series; sequential pseudo-random number generator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C10: Random number generation in numerical analysis
65Y20: Complexity and performance of numerical algorithms
Uses Software
Cites Work
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