Modeling and simulation with operator scaling

Serge Cohen, Mark M. Meerschaert and Jan Rosinski

Stochastic Processes and their Applications, 2010, vol. 120, issue 12, 2390-2411

Abstract: Self-similar processes are useful models for natural systems that exhibit scaling. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulation. A simulation method is developed for operator scaling Lévy processes, based on a series representation, along with a Gaussian approximation of the small jumps. Several examples are given to illustrate the range of practical applications. A complete characterization of symmetries in two dimensions is given, for any exponent and spectral measure, to inform the choice of these model parameters. The paper concludes with some extensions to general operator self-similar processes.

Keywords: Lévy; processes; Gaussian; approximation; Shot; noise; series; expansions; Simulation; Tempered; stable; processes; Operator; stable; processes (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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