dvfBm-package {dvfBm} | R Documentation |
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.
Package: | dvfBm |
Type: | Package |
Version: | 1.0 |
Date: | 2009-10-14 |
License: | GPL (>=2.0) |
LazyLoad: | yes |
J.-F. Coeurjolly
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
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))