Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study

Jean-Francois Coeurjolly

Journal of Statistical Software, 2000, vol. 005, issue i07

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.

Date: 2000-09-10
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:005:i07

DOI: 10.18637/jss.v005.i07

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