Rmfrac-package: Rmfrac: Simulation and analysis of multifractional processes

In Rmfrac: Simulation and Statistical Analysis of Multifractional Processes

Rmfrac: Simulation and analysis of multifractional processes

Description

A collection of tools for simulating, analysing and visualising multifractional processes and time series. The package includes estimation techniques for the Hurst function, Local Fractal Dimension and several other geometric statistics. It provides highly customisable plotting functions for simulated realisations, user-provided time series and their statistics.

Features

• Simulation of Brownian motion, fractional Brownian motion, fractional Gaussian noise, Brownian bridge and fractional Brownian bridge.

• Simulation of Gaussian Haar-based multifractional process (GHBMP).

• Estimation of Hurst function and Local Fractal Dimension.

• Customisable plotting functions for GHBMP and user provided time series with estimates of Hurst function and Local Fractal Dimension.

• Estimation and visualisation of geometric statistics using realisations of stochastic processes and time series. Clustering based on the Hurst function. Estimating sojourn measure, excursion area, etc.

• An interactive Shiny application that provides options to explore and visualise the core functionalities of the package through simulations and user-provided time series.

Author(s)

• Andriy Olenko ORCID [e-mail]

• Nemini Samarakoon ORCID [e-mail]

See Also

Useful links:

• https://github.com/Nemini-S/Rmfrac

• Report bugs at https://github.com/Nemini-S/Rmfrac/issues

Rmfrac documentation built on Sept. 10, 2025, 10:31 a.m.