We describe methods for generating discretized sample paths of long-range dependent processes such as fractional Brownian motion, its increment fractional Gaussian noise and FARIMA processes
Abstract. We consider simulation of Sub ’ð Þ-processes that are weakly selfsimilar with stationary i...
2004 © Applied Probability TrustThis paper considers a class of continuous-time long-range-dependent...
This paper considers the situation where a stochastic process may display both long-range dependence...
We describe methods for generating discretized sample paths of long-range dependent processes such a...
We introduce a class of Gaussian processes with stationary increments which exhibit long-range depen...
Abstract. We introduce a class of Gaussian processes with stationary in-crements which exhibit long-...
Originally submitted to IEEE Transactions on Information Theory, August 1999.1/f noise and statistic...
Based on the integral relationship between Brownian motion and fractional Brownian motion, we model...
We analyze the effect of additive fractional noise with Hurst parameter H>1/2 on fast-slow systems. ...
Title: Long range dependence in time series Author: Alexander Till Department: Department of Probabi...
[[abstract]]Long-range dependence has been recently asserted to be an important characteristic in mo...
As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly descri...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
A class of continuous-time models is developed for modelling data with heavy tails and long-range de...
Abstract. We consider simulation of Sub ’ð Þ-processes that are weakly selfsimilar with stationary i...
2004 © Applied Probability TrustThis paper considers a class of continuous-time long-range-dependent...
This paper considers the situation where a stochastic process may display both long-range dependence...
We describe methods for generating discretized sample paths of long-range dependent processes such a...
We introduce a class of Gaussian processes with stationary increments which exhibit long-range depen...
Abstract. We introduce a class of Gaussian processes with stationary in-crements which exhibit long-...
Originally submitted to IEEE Transactions on Information Theory, August 1999.1/f noise and statistic...
Based on the integral relationship between Brownian motion and fractional Brownian motion, we model...
We analyze the effect of additive fractional noise with Hurst parameter H>1/2 on fast-slow systems. ...
Title: Long range dependence in time series Author: Alexander Till Department: Department of Probabi...
[[abstract]]Long-range dependence has been recently asserted to be an important characteristic in mo...
As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly descri...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
A class of continuous-time models is developed for modelling data with heavy tails and long-range de...
Abstract. We consider simulation of Sub ’ð Þ-processes that are weakly selfsimilar with stationary i...
2004 © Applied Probability TrustThis paper considers a class of continuous-time long-range-dependent...
This paper considers the situation where a stochastic process may display both long-range dependence...
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