A general framework for simulation of fractional fields

Serge Cohen, Céline Lacaux and Michel Ledoux

Stochastic Processes and their Applications, 2008, vol. 118, issue 9, 1489-1517

Abstract: 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 Lr-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.

Keywords: Simulation; of; random; fields; Fractional; fields; Infinitely; divisible; distributions (search for similar items in EconPapers)
Date: 2008
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