Multiscale analysis and reconstruction of time series of stochastic cascade processes

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)