IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v24y2003i5p505-511.html
   My bibliography  Save this article

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

Author

Listed:
  • PETER F. CRAIGMILE

Abstract

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).

Suggested Citation

  • Peter F. Craigmile, 2003. "Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 505-511, September.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:5:p:505-511
    DOI: 10.1111/1467-9892.00318
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00318
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00318?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Gneiting, Tilmann, 1998. "Simple tests for the validity of correlation function models on the circle," Statistics & Probability Letters, Elsevier, vol. 39(2), pages 119-122, August.
    2. Caccia, David C. & Percival, Donald & Cannon, Michael J. & Raymond, Gary & Bassingthwaighte, James B., 1997. "Analyzing exact fractal time series: evaluating dispersional analysis and rescaled range methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 609-632.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Neuenkirch, Andreas, 2008. "Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2294-2333, December.
    2. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    3. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
    4. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Philipp Kainz & Michael Mayrhofer-Reinhartshuber & Helmut Ahammer, 2015. "IQM: An Extensible and Portable Open Source Application for Image and Signal Analysis in Java," PLOS ONE, Public Library of Science, vol. 10(1), pages 1-28, January.
    2. McGaughey, Donald R. & Aitken, G.J.M., 2002. "Generating two-dimensional fractional Brownian motion using the fractional Gaussian process (FGp) algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(3), pages 369-380.
    3. Almurad, Zainy M.H. & Delignières, Didier, 2016. "Evenly spacing in Detrended Fluctuation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 63-69.
    4. Hartmann, András & Mukli, Péter & Nagy, Zoltán & Kocsis, László & Hermán, Péter & Eke, András, 2013. "Real-time fractal signal processing in the time domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 89-102.
    5. McGaughey, Donald R & Aitken, George J.M, 2000. "Statistical analysis of successive random additions for generating fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 25-34.
    6. Mante, Claude, 2007. "Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4308-4323, May.
    7. Huang, Chunfeng & Zhang, Haimeng & Robeson, Scott M., 2016. "Intrinsic random functions and universal kriging on the circle," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 33-39.
    8. M. Soorya Gayathri & S. Adarsh & K. Shehinamol & Zaina Nizamudeen & Mahima R. Lal, 2023. "Evaluation of change points and persistence of extreme climatic indices across India," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 116(2), pages 2747-2759, March.
    9. Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Papers cond-mat/0010211, arXiv.org.
    10. Alvarez-Ramirez, Jose & Echeverria, Juan C. & Rodriguez, Eduardo, 2008. "Performance of a high-dimensional R/S method for Hurst exponent estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6452-6462.
    11. Biermé, Hermine & Meerschaert, Mark M. & Scheffler, Hans-Peter, 2007. "Operator scaling stable random fields," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 312-332, March.
    12. Fu, Yang & Zheng, Zeyu & Xiao, Rui & Shi, Haibo, 2017. "Comparison of two fractal interpolation methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 563-571.
    13. Turvey, Calum G., 2007. "A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 155-165.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:24:y:2003:i:5:p:505-511. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.