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        <identifier>oai.jstatsoft/v05/i07</identifier>
        <datestamp>2000-09-10</datestamp>
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          <dc:title>Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study</dc:title>
          <dc:creator>Jean-Francois Coeurjolly</dc:creator>
          <dc:date>2000-09-10</dc:date>
          <dc:publisher>Journal of Statistical Software</dc:publisher>
          <dc:description>
            <![CDATA[Vol. 5, Issue 7, Sep 2000
Abstract:
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. 
]]>
          </dc:description>
          <dc:subject>Statistics</dc:subject>
          <dc:subject>Software</dc:subject>
          <dc:identifier>http://www.jstatsoft.org/v05/i07</dc:identifier>
          <dc:source>http://www.jstatsoft.org/v05/i07/paper</dc:source>
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          <dc:type>Software</dc:type>
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