Simulating Sample Paths of Linear Fractional Stable Motion

DOI10.1109/TIT.2004.828059MaRDI QIDQ3547799zbMATH OpenOpenAlexFDO

Authors Wei Biao Wu, George Michailidis, Danlu Zhang

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2004.828059

zbMATH Keywords

fast Fourier transformheavy-tailed distributionslinear fractional stable motionlinear processlong-range dependencesimulation

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Numerical methods for discrete and fast Fourier transforms (65T50) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(13)

• A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
• Fourier series approximation of linear fractional stable motion
• Residual empirical processes for nearly unstable long-memory time series
• Estimation of inverse autocovariance matrices for long memory processes
• A unified approach to self-normalized block sampling
• On nonparametric prediction of linear processes
• A SIMULATION METHOD FOR LOG-FRACTIONAL STABLE MOTION
• Higher order fractional stable motion: hyperdiffusion with heavy tails
• Simulation of infinitely divisible random fields
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• On linear models with long memory and heavy-tailed errors
• Stable functional CLT for deterministic systems
• A general framework for simulation of fractional fields

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