Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina GrĂ¼n, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study | Coeurjolly | Journal of Statistical Software
Authors: Jean-Francois Coeurjolly
Title: Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study
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.

Page views:: 9497. Submitted: 2000-06-13. Published: 2000-09-10.
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DOI: 10.18637/jss.v005.i07

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