67 citations · 194 across the 24 of their papers we have counts for
3 papers · 1 filter
The De-Biased Whittle Likelihood
Adam M. Sykulski, Sofia C. Olhede, Arthur P. Guillaumin +2
The Whittle likelihood is a widely used and computationally efficient pseudo-likelihood. However, it is known to produce biased parameter estimates for large classes of models. We…
Exact Simulation of Noncircular or Improper Complex-Valued Stationary Gaussian Processes using Circulant Embedding
Adam M. Sykulski, Donald B. Percival
This paper provides an algorithm for simulating improper (or noncircular) complex-valued stationary Gaussian processes. The technique utilizes recently developed methods for multiv…
Fractional Brownian motion, the Matern process, and stochastic modeling of turbulent dispersion
J. M. Lilly, A. M. Sykulski, J. J Early +1
Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high fr…