Concepedia

Generators of long-range dependent processes: A survey

Jean‐Marc Bardet, Gabriel Lang, Georges Oppenheim, Anne Philippe, Murad S. Taqqu

HAL (Le Centre pour la Communication Scientifique Directe) · 2003 · 94 citations · 32 references

Concepts

EngineeringComputational EngineeringComputational PhysicsStochastic ModelingStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesGaussian ProcessesMarkov ProcessesMonte Carlo MethodsStochastic CalculusFractional Brownian MotionFractional Gaussian Noise

Abstract

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.

References

32

Time Series: Theory and Methods

Eric R. Ziegel, Peter J. Brockwell, Richard A. Davis · Technometrics · 1992 · 5.1K citations

Computing, Data Science, Econometrics +16

Statistics for Long-Memory Processes.

W. D. Ray, Jan Beran · Journal of the Royal Statistical Society Series A (Statistics in Society) · 1996 · 2.7K citations

Natural Sciences, Earth Sciences, Hydrology +14

Self-similarity through high-variability: statistical analysis of Ethernet LAN traffic at the source level

Walter Willinger, Murad S. Taqqu, Robert P. Sherman et al. · IEEE/ACM Transactions on Networking · 1997 · 1.7K citations

Computing, Computer Engineering, Computer Science +8

ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

Murad S. Taqqu, Vadim Teverovsky, Walter Willinger · Fractals · 1995 · 1.2K citations

Computing, Data Science, Econometrics +9

Maximum likelihood estimation of stationary univariate fractionally integrated time series models

Fallaw Sowell · Journal of Econometrics · 1992 · 1.1K citations

Social Sciences, Economics, Econometrics +11