Hybrid simulation scheme for volatility modulated moving average fields
File(s)
Accepted version
Author(s)
Heinrich, Claudio
Pakkanen, Mikko S
Veraart, Almut ED
Type
Journal Article
Abstract
We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour of the moving average kernel at zero governs the roughness of realisations, whereas its behaviour away from zero determines the global properties of the process, such as long range dependence. Our simulation scheme takes this into account and approximates the moving average kernel by a power function around zero and by a step function elsewhere. For this type of approach the authors of [8], who considered an analogous model in one dimension, coined the expression hybrid simulation scheme. We derive the asymptotic mean square error of the simulation scheme and compare it in a simulation study with several other simulation techniques and exemplify its favourable performance in a simulation study.
Date Issued
2019-12
Date Acceptance
2019-04-12
Citation
Mathematics and Computers in Simulation, 2019, 166, pp.224-244
ISSN
0378-4754
Publisher
Elsevier
Start Page
224
End Page
244
Journal / Book Title
Mathematics and Computers in Simulation
Volume
166
Copyright Statement
© 2019 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor
Commission of the European Communities
Identifier
http://arxiv.org/abs/1709.01310v1
Grant Number
FP7-PEOPLE-2012-CIG-321707
Subjects
stat.CO
stat.CO
math.PR
Publication Status
Published online
Date Publish Online
2019-05-31