Craigmile, P.F. (2003) Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes. Journal of Time Series Analysis, 24(5), pp. 505-511. (doi: 10.1111/1467-9892.00318)
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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).
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Craigmile, Dr Peter |
| Authors: | Craigmile, P.F. |
| College/School: | College of Science and Engineering > School of Mathematics and Statistics > Statistics |
| Journal Name: | Journal of Time Series Analysis |
| ISSN: | 0143-9782 |
| ISSN (Online): | 1467-9892 |
| Published Online: | 26 September 2003 |
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