R package dvfBm: Discrete variations of a fractional Brownian motion. Hurst exponent estimation of a fractional Brownian motion by using discrete variations methods in presence of outliers and/or an additive noise.
Keywords for this software
References in zbMATH (referenced in 3 articles )
Showing results 1 to 3 of 3.
- Bondarenko, Valeria; Bondarenko, Victor; Truskovskyi, Kyryl: Forecasting of time data with using fractional Brownian motion (2017)
- Abdelrazeq, Ibrahim; Ivanoff, B.Gail; Kulik, Rafał: Model verification for Lévy-driven Ornstein-Uhlenbeck processes (2014)
- Gneiting, Tilmann; Ševčíková, Hana; Percival, Donald B.: Estimators of fractal dimension: assessing the roughness of time series and spatial data (2012)