DocumentCode
997666
Title
Simulating sample paths of linear fractional stable motion
Author
Wu, Wei Biao ; Michailidis, George ; Zhang, Danlu
Author_Institution
Dept. of Stat., Univ. of Chicago, IL, USA
Volume
50
Issue
6
fYear
2004
fDate
6/1/2004 12:00:00 AM
Firstpage
1086
Lastpage
1096
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.
Keywords
error analysis; fast Fourier transforms; information theory; telecommunication traffic; FFT; LFSM; computational complexity; computer networks; error analysis; fast Fourier transform; linear fractional stable motion; sample paths generation; Computational complexity; Computational modeling; Error analysis; Motion measurement; Random variables; Statistics; Stochastic processes; Tail; Telecommunication traffic; Traffic control; FFT; Fast Fourier transform; LFSM; heavy-tailed distributions; linear fractional stable motion; linear process; long-range dependence; simulation;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/TIT.2004.828059
Filename
1302291
Link To Document