Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes

We demonstrate that the fast and exact Davies-Harte algorithm is valid for simulating a certain class of stationary Gaussian processes - those with a negative autocovariance sequence for all non-zero lags. The result applies to well known classes of long memory processes: Gaussian fractionally differenced (FD) processes, fractional Gaussian noise (fGn) and the nonstationary fractional Brownian Motion (fBm). Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	CRAIGMILE, PETER F.
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 5, p. 505-511
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005676629