Multiscale analysis and reconstruction of time series of stochastic cascade processes | Zendy

Nawroth Andreas | Zendy; Wächter Matthias | Zendy; Peinke Joachim | Zendy

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Multiscale analysis and reconstruction of time series of stochastic cascade processes

Author(s) -

Nawroth Andreas,

Wächter Matthias,

Peinke Joachim

Publication year - 2008

Publication title -

pamm

Language(s) - English

Resource type - Journals

ISSN - 1617-7061

DOI - 10.1002/pamm.200810769

Subject(s) - series (stratigraphy) , stochastic process , scale (ratio) , time series , computer science , set (abstract data type) , stochastic modelling , statistical physics , algorithm , mathematics , statistics , geology , physics , geography , cartography , paleontology , programming language

We propose a new method to generate synthetical time series of hierarchical stochastic processes. Based on the statistics of n –scale joint PDFs, the stochastic properties of a time series are modeled simultaneously on many scales. The application to a data set of turbulent velocities is demonstrated, showing the ability of the approach to reproduce the correct statistics of the original time series on all considered scales. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)

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