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A general framework for simulation of fractional fields

Authors :
Michel Ledoux
Serge Cohen
Céline Lacaux
Institut de Mathématiques de Toulouse UMR5219 (IMT)
Institut National des Sciences Appliquées - Toulouse (INSA Toulouse)
Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-Université Toulouse 1 Capitole (UT1)
Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-Université Toulouse - Jean Jaurès (UT2J)-Université Toulouse III - Paul Sabatier (UT3)
Université Fédérale Toulouse Midi-Pyrénées-Centre National de la Recherche Scientifique (CNRS)
Institut Élie Cartan de Nancy (IECN)
Centre National de la Recherche Scientifique (CNRS)-Institut National Polytechnique de Lorraine (INPL)-Université Nancy 2-Université Henri Poincaré - Nancy 1 (UHP)-Institut National de Recherche en Informatique et en Automatique (Inria)
Université Toulouse Capitole (UT Capitole)
Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse)
Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J)
Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3)
Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS)
Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Institut National Polytechnique de Lorraine (INPL)-Centre National de la Recherche Scientifique (CNRS)
Source :
Stochastic Processes and their Applications, Stochastic Processes and their Applications, Elsevier, 2008, 118 (9), pp.1489--1517, Stochastic Processes and their Applications, 2008, 118 (9), pp.1489--1517
Publication Year :
2008
Publisher :
Elsevier BV, 2008.

Abstract

International audience; Besides fractional Brownian motion most non-Gaussian fractional fields are obtained by integration of deterministic kernels with respect to a random infinitely divisible measure. In this paper, generalized shot noise series are used to obtain approximations of most of these fractional fields, including linear and harmonizable fractional stable fields. Almost sure and $L^r$-norm rates of convergence, relying on asymptotic developments of the deterministic kernels, are presented as a consequence of an approximation result concerning series of symmetric random variables. When the control measure is infinite, normal approximation has to be used as a complement. The general framework is illustrated by simulations of classical fractional fields.

Details

ISSN :
03044149 and 1879209X
Volume :
118
Issue :
9
Database :
OpenAIRE
Journal :
Stochastic Processes and their Applications
Accession number :
edsair.doi.dedup.....f2734ae6b8c2d1bd6074335fc14bac16
Full Text :
https://doi.org/10.1016/j.spa.2007.09.008