Efficient generation of fractional Brownian motion for simulation of infrared focal-plane array calibration drift (Q1973911)

The fast (\(N\log N\)) and exact algorithm for the generation of discrete-time fractional Brownian motion (FBM) with the Hurst parameter \(H\in (0,\frac{1}{2}]\) is given. The algorithm is used to estimate numerically the pdf for the first exit time of the FBM from an interval, and the pdf for the maximum of the absolute value of FBM on a fixed time interval. The dependence of the results on \(H\) and \(N\) is discussed. The study is motivated by problems appearing in analysis of infrared images.