학술논문
Simulating sample paths of linear fractional stable motion
Document Type
Periodical
Author
Source
IEEE Transactions on Information Theory IEEE Trans. Inform. Theory Information Theory, IEEE Transactions on. 50(6):1086-1096 Jun, 2004
Subject
Language
ISSN
0018-9448
1557-9654
1557-9654
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.