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

Peter F. Craigmile

Journal of Time Series Analysis, 2003, vol. 24, issue 5, 505-511

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).

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:5:p:505-511

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