Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study

By Jean‐François Coeurjolly. 2000

191 citations recorded by the source corpus.

We present a non exhaustive bibliographical and comparative study of the problem of simulation and identification of the fractional Brownian motion. The discussed implementation is realized within the software S-plus 3.4. A few simulations illustrate this work. Furthermore, we propose a test based on the asymptotic behavior of a self-similarity parameter's estimator to explore the quality of different generators. This procedure, easily computable, allows us to extract an efficient method of simulation. In the Appendix are described the S-plus scripts related to simulation and identification methods of the fBm.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/47bcaa9ef1f4b85c0d6e61532799c80e84d4f642

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Citations in the corpus

Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2006, unknown): “, [4].”
Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths (2001, methodology): “The results of Proposition 2 have been used for testing the quality of various simulation methods of a fBm, see Coeurjolly (2000).”