Related papers: A new Multifractional Process with Random Exponent
The aim of this paper is to give a wavelet series representation of Linear Multifractional Stable Motion (LMSM in brief), which is more explicit than that introduced in (Ayache & Hamonier 2012). Instead of using Daubechies wavelet, which is…
We define multifractional Hermite processes which generalize and extend both multifractional Brownian motion and Hermite processes. It is done by substituting the Hurst parameter in the definition of Hermite processes as a multiple…
In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this…
We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a…
Wavelet-type random series representations of the well-known Fractional Brownian Motion (FBM) and many other related stochastic processes and fields have started to be introduced since more than two decades. Such representations provide…
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose covariance depends on the so-called Hurst parameter $H\in…
This paper presents $whittlehurst$, a Python package implementing Whittle's likelihood method for estimating the Hurst exponent in fractional Brownian motion (fBm). While the theoretical foundations of Whittle's estimator are…
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We…
Complex systems often involve random fluctuations for which self-similar properties in space and time play an important role. Fractional Brownian motions, characterized by a single scaling exponent, the Hurst exponent $H$, provide a…
Consider the fractional Brownian Motion (fBM) $B^H=\{B^H(t): t \in [0,1] \}$ with Hurst index $H\in (0,1)$. We construct a probability space supporting both $B^H$ and a fully simulatable process $\hat B_{\epsilon}^H $ such that $$\sup_{t\in…
We study integral representations of random variables with respect to general H\"older continuous processes and with respect to two particular cases; fractional Brownian motion and mixed fractional Brownian motion. We prove that arbitrary…
We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a…
This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its covariance operator, asymptotically accurate up to the…
We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H>1/2 as a typical example. We establish infinite and finite past…
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…
We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time series--these series are synthetically generated. Both quantifiers are mainly used to…
The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the scale parameter $\lambda$ and the Hurst index of such processes…
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…