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FracSim: An R Package to Simulate Multifractional Lévy Motions

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  • Déjean, Sébastien
  • Cohen, Serge

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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  • Déjean, Sébastien & Cohen, Serge, 2005. "FracSim: An R Package to Simulate Multifractional Lévy Motions," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 14(i18).
    • Handle: RePEc:jss:jstsof:v:014:i18
    DOI: http://hdl.handle.net/10.18637/jss.v014.i18
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    References listed on IDEAS

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    1. Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
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    Cited by:

    1. Kawai, Reiichiro, 2021. "A general approach to sample path generation of infinitely divisible processes via shot noise representation," Statistics & Probability Letters, Elsevier, vol. 174(C).

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