Code for simulating fractional Brownian motion: I have programmed some algorithms for simulating fractional Brownian motion. The resulting C-programs are suited for dynamically loading into R, but the routines can be called from any C-program. See the note below how to use these files with R. The implementations of some algorithms make use of the C-packages Ranlib and Meschach, both available via Netlib (www.netlib.org). Please feel free to send me suggestions for improving the code. The recursive method by Hosking (exact); hosking.h, hosking.c, cov.c.
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References in zbMATH (referenced in 2 articles )
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- Arthur A. B. Pessa, Haroldo V. Ribeiro: ordpy: A Python package for data analysis with permutation entropy and ordinal network methods (2021) arXiv
- Pessa, Arthur A. B.; Ribeiro, Haroldo V.: ordpy: a Python package for data analysis with permutation entropy and ordinal network methods (2021)