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- W1854365625 abstract "We extend the recently considered toy model of Weierstrass (or Lévy) walks with varying velocity of the walker by introducing a more realistic possibility that the walk can be occasionally intermitted by its momentary localization; the localizations themselves are again described by the Weierstrass (or Lévy) process. The direct empirical motivation for developing this combined model is, for example, the dynamics of financial high-frequency time series or meteorological ones. This approach makes it possible to study by efficient stochastic simulations the whole spatial-temporal range. To describe empirical data, which are collected at discrete time-steps, we used in the continuous-time series produced by the model a discretization procedure. We observed that such a procedure constitutes a basis for long-time autocorrelations (of the variation of the walker single-step displacements) which appear to be similar to those observed, e.g., in financial time series, although single steps of the walker within the continuous time are uncorrelated." @default.
- W1854365625 created "2016-06-24" @default.
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- W1854365625 date "2003-01-01" @default.
- W1854365625 modified "2023-09-23" @default.
- W1854365625 title "Stochastic Simulation of Time Series by Using the Spatial-Temporal Weierstrass Function" @default.
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- W1854365625 doi "https://doi.org/10.1007/3-540-44860-8_42" @default.
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