Simulation methods for linear fractional stable motion and farima using the fast fourier transform

Fractals

Volumn 12, Issue 1, 2004, Pages 95-121

  Stoev, Stilian ^a   Taqqu, Murad S ^a  

^a Boston University   (United States)

Author keywords

FARIMA Time Series; Heavy Tails; Hurst Parameter; Linear Fractional Stable Motion; Mallat's Algorithm; Self similarity; Simulation; Wavelets

Indexed keywords

ALGORITHMS; BANDWIDTH; BROWNIAN MOVEMENT; COMPUTER SIMULATION; FAST FOURIER TRANSFORMS; POISSON EQUATION; RANDOM PROCESSES; STATISTICAL METHODS; TELECOMMUNICATION TRAFFIC;

FARIMA TIME SERIES; HEAVY TAILS; HURST PARAMETERS; LINEAR FRACTIONAL STABLE MOTION; MALLAT'S ALGORITHM; SELF-SIMILARITY; WAVELETS;

TELECOMMUNICATION NETWORKS;

EID: 2942639996     PISSN: 0218348X     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218348X04002379     Document Type: Article

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