On fast generation of fractional Gaussian noise

DOI10.1016/j.csda.2005.04.021zbMath1445.60007OpenAlexW2010239482MaRDI QIDQ959337

Przemysław Włodarski, Jan Purczyński

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.04.021

zbMATH Keywords

time seriesself-similar processesfractional Gaussian noise

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Computational methods for problems pertaining to probability theory (60-08) Self-similar stochastic processes (60G18)

Related Items (4)

Fast simulation of self-similar and correlated processes ⋮ On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise ⋮ Two approximation methods to synthesize the power spectrum of fractional Gaussian noise ⋮ An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost

Uses Software

• longmemo

Cites Work

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• Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
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• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Robustness of whittle-type estimators for time series with long-range dependence
• Phase-modulated resonances modeled as self-similar processes with application to turbulent sounds

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