dvfBm-package: Simulation and Inference of contaminated Fractional Brownian...

In dvfBm: Discrete variations of a fractional Brownian motion

Description

Generates contaminated (with additive outliers or additive noise) sample paths of a fractional Brownian motion and proposes robust Hurst exponent estimates that are computationnally fast and that do not require the estimation of other parameters.

Details

Package:	dvfBm
Type:	Package
Version:	1.0
Date:	2009-10-14
License:	GPL (>=2.0)
LazyLoad:	yes

Author(s)

J.-F. Coeurjolly

References

J.-F. Coeurjolly (2001) Simulation and identification of the fractional Brownian motion: a bibliographic and comparative study. Journal of Statistical Software, Vol. 5.

A.T.A. Wood and G. Chan (1994) Simulation of stationary Gaussian processes in [0,1]^d. Journal of computational and graphical statistics, Vol. 3 (4), p.409–432.

S. Achard and J.-F. Coeurjolly (2009). Discrete variations of the fractional Brownian in the presence of outliers and an additive noise. Submitted

Examples

n<-10000;H<-0.8
z<-perturbFBM(n,H,type="AO",SNR=-20,plot=TRUE)
dvFBM(z,method="ST")
dvFBM(z,nma="d4",method="TM",par=list(beta1=.1,beta2=.1))

Example output

Loading required package: wmtsa
log(M1:M2) 
 0.6712018 
log(M1:M2) 
 0.8163564 

dvfBm documentation built on May 29, 2017, 9:08 p.m.