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In this article a procedure is proposed to simulate fractional fields, which are non Gaussian counterpart of the fractional Brownian motion. These fields, called real harmonizable (multi)fractional Lévy motions, allow fixing the Hölder exponent at each point. FracSim is an R package...
Persistent link: https://www.econbiz.de/10005101492
To simulate Gaussian fields poses serious numerical problems: storage and computing time. The midpoint displacement method is often used for simulating the fractional Brownian fields because it is fast. We propose an effective and fast method, valid not only for fractional Brownian fields, but...
Persistent link: https://www.econbiz.de/10005113300
To simulate fractional Brownian motion indexed by a manifold poses serious numerical problems: storage, computing time and choice of an appropriate grid. We propose an effective and fast method, valid not only for fractional Brownian fields indexed by a manifold, but for any Gaussian fields...
Persistent link: https://www.econbiz.de/10009018349