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Authors: Jean-Francois Coeurjolly
Title: [download]
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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]
(7719)
Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study
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Supplements: [download]
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SimEstFBM: Code File
(application/octet-stream, 40 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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