swMATH ID: 26366
Software Authors: Jean-Francois Coeurjolly
Description: Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study. We present a non exhaustive bibliographical and comparative study of the problem of simulation and identification of the fractional Brownian motion. The discussed implementation is realized within the software S-plus 3.4. A few simulations illustrate this work. Furthermore, we propose a test based on the asymptotic behavior of a self-similarity parameter’s estimator to explore the quality of different generators. This procedure, easily computable, allows us to extract an efficient method of simulation. In the Appendix are described the S-plus scripts related to simulation and identification methods of the fBm.
Homepage: https://www.jstatsoft.org/v005/i07
Dependencies: S-PLUS
Keywords: Fractional Brownian motion; fBm; simulation; identification of a parametric model; quality of a generator; S-plus; Journal of Statistical Software
Related Software: longmemo; wmtsa; R; Matlab; S-PLUS; DLMF; rmarkdown; nag; NAG; AS 155; YUIMA; BootWPTOS; dvfBm; LASS
Cited in: 39 Publications

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