Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Sébastien Déjean, Serge Cohen
Title: FracSim: An R Package to Simulate Multifractional Lévy Motions
Abstract: In this article a procedure is proposed to simulate fractional fields, which are non Gaussian counterpart of the fractional Brownian motion. These fields, called real harmonizable (multi)fractional Lévy motions, allow fixing the Hölder exponent at each point. FracSim is an R package developed in R and C language. Parallel computers have been also used.

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Paper: FracSim: An R Package to Simulate Multifractional Lévy Motions     Download PDF (Downloads: 9904)
Supplements:
FracSim_0.2.tar.gz: R source package Download (Downloads: 1214; 2KB)
main-2d-openmp.c.zip: main-2d-openmp.c: C code Download (Downloads: 1187; 1KB)
DOI: 10.18637/jss.v014.i18

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.