Fast simulation of self-similar and correlated processes

DOI10.1016/J.MATCOM.2010.01.010zbMath1196.65034OpenAlexW1990446287MaRDI 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

zbMATH Keywords

computational complexitynumerical examplesefficient on-line generationpersistent correlations\(M/G/\infty \) processGaussian self-similar time seriessequential pseudo-random number generator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random number generation in numerical analysis (65C10) Complexity and performance of numerical algorithms (65Y20)

Uses Software

• longmemo

Cites Work

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• The Impact of Autocorrelation on Queuing Systems

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