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dvfBm (version 1.0)

Discrete variations of a fractional Brownian motion

Description

Hurst exponent estimation of a fractional Brownian motion by using discrete variations methods in presence of outliers and/or an additive noise

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Version

Install

install.packages('dvfBm')

Monthly Downloads

2

Version

1.0

License

GPL (>= 2.0)

Maintainer

Cqls Team

Last Published

November 22nd, 2009

Functions in dvfBm (1.0)

circFBM

Simulation of a fractional Brownian motion by using the circulant matrix method
dvfBm-package

Simulation and Inference of contaminated Fractional Brownian Motions
dilatation

Provides the dilated version of a vector
dvFBM

Discrete Variations estimate for a contaminated fBm
filt

Components of a named filter
perturbFBM

Simulation of a perturbed fBm