SimEstFBM 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 Standard Articles 1 Publication describing the Software Year all top 5 Cited by 68 Authors 7 Coeurjolly, Jean-François 3 Neuenkirch, Andreas 2 Kozachenko, Yuriĭ Vasyl’ovych 2 Lacaux, Céline 2 Mishura, Yuliya Stepanivna 2 Nourdin, Ivan 2 Vasylyk, Ol’ga I. 2 Xiao, Wei-Lin 2 Zhang, Weiguo 1 Achard, Sophie 1 Ahmadian, Davood 1 Amblard, Pierre-Olivier 1 Ballestra, Luca Vincenzo 1 Bianchi, Alessandra 1 Bianchi, Sergio 1 Bibinger, Markus 1 Bidégaray-Fesquet, Brigitte 1 Biermé, Hermine 1 Bock, Wolfgang 1 Bondarenko, Valeria 1 Bondarenko, Victor 1 Breton, Jean-Christophe 1 Campanino, Massimo 1 Chen, Yangquan 1 Clausel, Marianne 1 Coutin, Laure 1 Crimaldi, Irene 1 da Silva, José Luís 1 Desmettre, Sascha 1 Dozzi, Marco E. 1 Fu, Pei 1 Guglielmi, Jean-Marc 1 Guo, Peng 1 Hidot, Sullivan 1 Keller, Karsten 1 Kloeden, Peter Eris 1 Kortas, Hedi 1 Kubilius, Kȩstutis 1 Lafaye, Jean-Yves 1 Li, Changpin 1 Ma, Jingtang 1 Makogin, Vitalii 1 Marie, Nicolas 1 Modarresi, N. 1 Orio, Patricio 1 Pashko, A. O. 1 Pashko, Anatolii 1 Pavani, Raffaella 1 Philippe, Anne 1 Porcu, Emilio 1 Rezakhah, Saeid 1 Richard, Alexandre 1 Seghir, Driss 1 Sghir, Aissa 1 Shevchenko, Georgiy M. 1 Sikora, Grzegorz 1 Sinn, Mathieu 1 Skorniakov, Viktor 1 Sun, Lin 1 Tanré, Etienne 1 Truskovskyi, Kyryl 1 Wang, Lin 1 Wu, Haofei 1 Zeng, Caibin 1 Zhang, Qimin 1 Zhang, Xili 1 Zhang, Xili 1 Zheng, Laiyun all top 5 Cited in 34 Serials 3 Stochastic Processes and their Applications 3 Statistical Inference for Stochastic Processes 2 Chaos, Solitons and Fractals 1 Advances in Applied Probability 1 Physica A 1 The Annals of Statistics 1 Statistics & Probability Letters 1 Journal of Theoretical Probability 1 Annals of Operations Research 1 IEEE Transactions on Signal Processing 1 Communications in Statistics. Theory and Methods 1 Journal of Statistical Computation and Simulation 1 Computational Statistics and Data Analysis 1 Theory of Probability and Mathematical Statistics 1 Applied and Computational Harmonic Analysis 1 Fractals 1 Random Operators and Stochastic Equations 1 Journal of Computational Neuroscience 1 Monte Carlo Methods and Applications 1 Fractional Calculus & Applied Analysis 1 Quantitative Finance 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Sampling Theory in Signal and Image Processing 1 Advances in Difference Equations 1 Stochastics 1 Electronic Journal of Statistics 1 International Journal of Biomathematics 1 Journal of Nonlinear Science and Applications 1 Statistics Surveys 1 Science China. Mathematics 1 International Journal of Stochastic Analysis 1 Journal of Computational and Graphical Statistics 1 Modern Stochastics. Theory and Applications 1 Journal de la Société Française de Statistique & Revue de Statistique Appliquée all top 5 Cited in 9 Fields 34 Probability theory and stochastic processes (60-XX) 19 Statistics (62-XX) 10 Numerical analysis (65-XX) 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Biology and other natural sciences (92-XX) 1 Ordinary differential equations (34-XX) 1 Partial differential equations (35-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year