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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
Abstract 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)