FracSim: An R Package to Simulate Multifractional Lévy Motions

Sébastien Déjean and Serge Cohen

Journal of Statistical Software, 2005, vol. 014, issue i18

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.

Date: 2005-12-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:014:i18

DOI: 10.18637/jss.v014.i18

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