swMATH26366MaRDI QIDQ38097FDOQ38097
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Official website: https://www.jstatsoft.org/v005/i07
Cited In (49)
- Simulation of generalized fractional Brownian motion in \(C([0,T])\)
- Maximum likelihood estimators of a long-memory process from discrete observations
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- A fast algorithm for simulation of rough volatility models
- Fast and exact synthesis of some operator scaling Gaussian random fields
- Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
- Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- On a fractional stochastic Hodgkin-Huxley model
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
- Expectiles for subordinated Gaussian processes with applications
- The rate of convergence of Hurst index estimate for the stochastic differential equation
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models
- Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance
- Innovative methods for modeling of scale invariant processes
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- longmemo
- YUIMA
- dvfBm
- Data driven sampling of oscillating signals
- Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
- An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- wmtsa
- Series representation and simulation of multifractional Lévy motions
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
- Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
- Simulation paradoxes related to a fractional Brownian motion with small Hurst index
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
- A generative model for fBm with deep ReLU neural networks
- Quantification of fracture roughness by change probabilities and Hurst exponents
- Integral representation of generalized grey Brownian motion
- Numerics for the fractional Langevin equation driven by the fractional Brownian motion
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
- PyAFBF
- Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
- Forecasting of time data with using fractional Brownian motion
- On a covariance structure of some subset of self-similar Gaussian processes
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Statistical test for fractional Brownian motion based on detrending moving average algorithm
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- An integrate-and-fire model to generate spike trains with long-range dependence
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
- Identification of the Multivariate Fractional Brownian Motion
- Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
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