Modelling and simulation of fractional ARIMA processes based on importance sampling

Authors:
Jung-Shian Li;Adam Wolisz;Radu Popescu-Zeletin
Affiliations:
GMD-FOKUS, Kaiserin-Augusta-Allee 31, 10589 Berlin, Germany;GMD-FOKUS, Kaiserin-Augusta-Allee 31, 10589 Berlin, Germany;GMD-FOKUS, Kaiserin-Augusta-Allee 31, 10589 Berlin, Germany
Venue:
SAC '98 Proceedings of the 1998 ACM symposium on Applied Computing
Year:
1998

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Abstract