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Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model

In: Proceedings of COMPSTAT'2010

Author

Listed:
  • G. Damiana Costanzo

    (UNICAL, Dip. Di Economia e Statistica)

  • S. De Bartolo

    (UNICAL, Dip. di Difesa del Suolo V. Marone)

  • F. Dell’Accio

    (UNICAL, Dip. di Matematica)

  • G. Trombetta

    (UNICAL, Dip. di Matematica)

Abstract

Considering functional data and an associated binary response, a method based on the definition of special Random Multiplicative Cascades to simulate the underlying stochastic process is proposed. It will be considered a class S of stochastic processes whose realizations are real continuous piecewise linear functions with a constrain on the increment and the family R of all binary responses Y associated to a process X in S. Considering data from a continuous phenomenon evolving in a time interval [0, T] which can be simulated by a pair (X, Y) ∈ S × R, a prediction tool which would make it possible to predict Y at each point of [0, T] is introduced. An application to data from an industrial kneading process is considered.

Suggested Citation

  • G. Damiana Costanzo & S. De Bartolo & F. Dell’Accio & G. Trombetta, 2010. "Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model," Springer Books, in: Yves Lechevallier & Gilbert Saporta (ed.), Proceedings of COMPSTAT'2010, pages 453-460, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2604-3_44
    DOI: 10.1007/978-3-7908-2604-3_44
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