A multiplicative wavelet-based model for simulation of a random process

Abstract

We consider a random process Y (t) = exp{X(t)}, where X(t) is a centered secondorder process which correlation function R(t, s) can be represented as R u(t, y)u(s, y)dy. A multiplicative wavelet-based representation is found for Y (t).We propose a model for simulation of the process Y (t) and find its rates of convergence to the process in the spacesis a strictly sub-Gaussian process.

Wavelet-based simulation of random processes from certain classes with given accuracy and reliability

“…[5], [10], [13] and [14]). It is necessary to mention that results on simulation with given accuracy and reliability are available mostly for light-tailed processes -Gaussian and sub-Gaussian processes (although there are some exceptions, see, for instance, [18]).…”