Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables

Murad S. Taqqu and Jeffrey B. Goldberg

Stochastic Processes and their Applications, 1982, vol. 13, issue 2, 121-138

Abstract: This paper expands on the multigraph method for expressing moments of non-linear functions of Gaussian random variables. In particular, it includes a list of regular multigraphs that is needed for the computation of some of these moments. The multigraph method is then used to evaluate numerically the moments of non-Gaussian self-similar processes. These self-similar processes are of interest in various applications and the numerical value of their marginal moments yield qualitative information about the behavior of the probability tails of their marginal distributions.

Keywords: Multigraph; moments; Monte; Carlo; hydrology; self-similar; processes; Hermite; polynomials; Hermite; processes (search for similar items in EconPapers)
Date: 1982
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