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SimEstFBM

swMATH ID:	26366
Software Authors:	Coeurjolly, Jean-Francois
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; YUIMA; R; Matlab; advanpix; QuantGAN; Adam; S-PLUS; DLMF; NAG; rmarkdown; nag; AS 155; BootWPTOS; dvfBm; LASS
Cited in:	44 Documents

1 Publication describing the Software	Year
Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study Link Jean-Francois Coeurjolly	2000

all top 5

7	Coeurjolly, Jean-François
3	Neuenkirch, Andreas
3	Xiao, Weilin
2	Keller, Karsten
2	Kozachenko, Yuriĭ Vasyl’ovych
2	Lacaux, Céline
2	Mishura, Yuliya Stepanivna
2	Nourdin, Ivan
2	Sun, Lin
2	Vasylyk, Ol’ga I.
2	Zhang, Weiguo
1	Achard, Sophie
1	Ahmadian, Davood
1	Allouche, Michaël
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	Blum, Philipp
1	Bock, Wolfgang
1	Bondarenko, Valeria
1	Bondarenko, Victor
1	Breton, Jean-Christophe
1	Campanino, Massimo
1	Chen, Jianxin
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	Dufitinema, Josephine
1	Fu, Pei
1	Girard, Stéphane
1	Gobet, Emmanuel
1	Guglielmi, Jean-Marc
1	Guo, Peng
1	Gutjahr, Tim
1	Hale, Sina
1	Hidot, Sullivan
1	Kloeden, Peter Eris
1	Kortas, Hedi
1	Kubilius, Kȩstutis
1	Lafaye, Jean-Yves
1	Li, Changpin
1	Lu, Xianggang
1	Ma, Jingtang
1	Makogin, Vitalii
1	Marie, Nicolas
1	Modarresi, Navideh
1	Orio, Patricio
1	Pashko, A. O.
1	Pashko, Anatolii
1	Pavani, Raffaella
1	Philippe, Anne
1	Porcu, Emilio
1	Pynnönen, Seppo
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	Sottinen, Tommi
1	Tanré, Etienne
1	Truskovskyi, Kyryl
1	Wang, Lin
1	Wang, Xiaohu
1	Winter, Steffen
1	Wu, Haofei
1	Yu, Jun
1	Zeng, Caibin
1	Zhang, Qimin
1	Zhang, Xili
1	Zhang, Xili
1	Zheng, Laiyun

all top 5

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	Journal of Econometrics
1	Statistics & Probability Letters
1	Journal of Complexity
1	Journal of Theoretical Probability
1	Annals of Operations Research
1	IEEE Transactions on Signal Processing
1	Communications in Statistics. Simulation and Computation
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	Mathematical Geosciences
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
1	Advances in Continuous and Discrete Models

all top 5

36	Probability theory and stochastic processes (60-XX)
22	Statistics (62-XX)
10	Numerical analysis (65-XX)
5	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	Geophysics (86-XX)
1	Information and communication theory, circuits (94-XX)