| Authors: | Jean-Francois Coeurjolly |
| Title: | [download] (6485)Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study |
| Reference: | Vol. 5, Issue 7, Sep 2000 Submitted 2000-06-13, Accepted 2000-09-10 |
| Type: | Article |
| 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. |
| Paper: | [download] (6485)Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study (application/pdf, 284.7 KB) |
| Supplements: | [download] (1129)SimEstFBM: Code File (application/octet-stream, 40 KB) |
| Resources: | BibTeX | OAI |
