In this article a procedure is proposed to simulate fractional fields, which are non Gaussian counterpart of the fractional Brownian motion. These fields, called real harmonizable (multi)fractional Lévy motions, allow fixing the Hölder exponent at each point. FracSim is an R package...

In this paper we establish a spectral representation of any symmetric stable self-similar process in terms of multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self-similar process into three independent parts: mixed...

The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper, we compute the asymptotic distribution for these estimates in the case, where the innovations have a finite fourth moment. These asymptotic results are useful to...