Modeling and simulation with operator scaling
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.
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Volume (Year): 120 (2010)
Issue (Month): 12 (December)
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- Sato, Ken-iti, 1987. "Strictly operator-stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 22(2), pages 278-295, August. Full references (including those not matched with items on IDEAS)
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