Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9892.00318/fullpdf
Reference15 articles.
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2. BROCKWELL , P. J. DAVIS , R. A. 1991 Time Series. Theory and Methods (2nd edn) New York: Springer-Verlag.
3. Analyzing exact fractal time series: evaluating dispersional analysis and rescaled range methods;CACCIA;Physica A,1997
4. CHILÈS , J. DELFINER , P. 1999 Geostatistics: Modeling Spatial Uncertainty
5. Tests for Hurst effect;DAVIES;Biometrika,1987
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