Simulating sample paths of linear fractional stable motion

Authors:
Wei Biao Wu;G. Michailidis;D. Zhang
Affiliations:
Dept. of Stat., Univ. of Chicago, IL, USA;-;-
Venue:
IEEE Transactions on Information Theory
Year:
2004

Citing 0
Cited 2

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Abstract

An algorithm for generating sample paths of linear fractional stable motion (LFSM) is introduced. It is based on the approximation of LFSM by a linear process and exhibits low computational complexity. A detailed analysis of the error term involved in the approximation is provided, which in turn guides the user on selecting the size of the generated sequence.